depending on how that holster will wind up hanging and fitting there is a multitude of things you could do...
the easiest of which is to scalp it from another figure. Star wars figs that I feel have the most useful holsters are the cantina aliens and han-solo figs. the animated clones like rex, who have the double hip holsters are a nice source for those type holsters, but they only hold that one style gun...
gi-joe figures of most every line have realy nice holsters as well... these can be easily modified and added to new figures.
I alwys find that it's most useful to first figure out the gun that your needing the holster for, then go from there. You can then use either small pieces of plastic and make your own holsters by folding them into square "tubes" and glueing them in place or you can sculpt a holster from something like apoxi-sculpt or "green stuff" directly over the weopon onto the figure, removing the weopon before it hardens to leave a perfect void inside the holster for that gun.
Check out my "mandalorian scout" figure in my thread, the holster on his leg is made from the plastic that holds the build a droid parts into the packaging of newer figures. that particular holster is for a stormtrooper blaster and was made by folding the plastic 4 times into that shape, gluing it together, gluing it to the leg of the figure, and then cutting out a small piece for the blaster's "clip" to fit in and secure it.
hope that gives you some ideas...
