You can get the materials at any knife supply site or ebay. I got some stuff from Jantz Supply and other stuff from knifekits.com. I should have gotten it all from knifekits probably but I wanted some Dymondwood and I got it from Jantz so I ordered the rivets from there too. You order the kydex in 12"x12" pieces, but if you order two like I did, it'll come in 12"x24" sheets. I did those sheaths with .060 thickness, since they are all light weight blades. I got some .080 to attempt a couple of holsters for small pistols. I have to order some longer rivets for the thicker material.
I hit youtube for videos about doing it. It's pretty simple really. The biggest thing is either buying or making a press to mold the material. I made my own press out of a 2'x2' piece of 3/4" ply cut in half, a closed cell camp pad cut to size and layered and glued, and a couple of door hinges. I anchored a 2ft piece of 4x4 to my bench, attached the top half of the press to it with the hinges, then screwed the bottom of the press to my top of my bench. In concept it's similar to a waffle maker or a Foreman grill, really. I made my own because after looking at those in the supply shops, they're $185 or so. Granted, they are REALLY nice, but I think that I've got $20 tied up in my homemade one. Some people don't make a press, per se, they glue the foam to the boards, then use a bench vice to sandwich the press. Either way works.
Kydex is a thermo plastic that melts around 400 degrees. You have to heat it to at least 160 degrees to make it flexible. Some people use a heat gun but that can be hard to regulate since they get really hot. A lot of people use eletric toaster ovens since you can set the temp and not worry about it. I was going to use a heat gun since I already had one, but then I read about (can't remember where it was) another guy that uses an electric griddle to do it, and I happened to have one of those that doesn't get used, so now it's my kydex heater. It works VERY well.
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