About 6 years ago I decided to make a Lady Loki costume that was an amalgam of all my favorite versions. Since I was wearing it to DragonCon, I felt I definitely needed a drinking horn to accompany my ensemble and so began my first project with leather. I wasn't yet at the point where I had the confidence to buy and alter a hide, and I happened to find these awesome skull belts at Wallyworld, so it was a simple project.
If you have leatherworking tools and the interest and ability to do something more detailed, go for it! For those of you who want to start simple, you can pick up leather scraps or precut strips at most hobby stores, Target, and Walmart. You can use a sharp knife/ice pick/sculpting tool to make your holes or apply snaps if you prefer that aesthetic.
Here are a few of the most applicable videos I located from Tandy Leather.