I would expect to find sheaths like that at maybe a East-Meets-West sort of store that you'd see at a mall. Either that or maybe try a sports store. Sometimes they carry sheaths for fencing and you can easily transform a plain white one into a wooden-looking one with some wood-paint from the craft store.
Last resort, try Toys R Us. I saw a wooden dagger sheath for a WoW toy a few weeks back when I was getting a present for my niece.
The easiest way to think about making sheaths is that you're making a box around your sword with 1 open end. I have embarrassingly little documentation on the first two sheaths I made but they are here on my blog.
I have a lot more documentation on the Alibaba dagger sheath I made just recently though. I made it all out of expanded PVC but wood is just as fine. The picture of the wood cutout was just a test and I didn't use it in the final product, but the shape was the same. If you have any questions don't hesitate to ask! I also recommend lining the inside with cloth as it helps keep the paint all nice and clean on the prop.