Not trying to discourage you by any means. But it is a bigger project than it first appears. Take your time and realize you will make some mistakes. If you go to Tandy, buy "How to Make Holsters" by Al Stohlman. It's a great primer. You might also want to have a look at "Hand Stitching Leather", also by Al. These two books will be a big help.
Regarding the leather, thinner leathers really aren't that much cheaper than thicker leathers. If you go with thinner, I wouldn't go any less than 6/7 oz for a holster. Also, I forgot to mention, make sure you get vegetable tanned or veg-tanned leather.
Marc