I've made some sgian dubhs (sgians dubh?) and dirks. I usually use wood, preferably oak, for the handles, but I like to use antler, especially for the sgians, when I get some good pieces. I make the wooden handles from two mating pieces epoxied (or gorilla glued) together, the antler I drill out. In both cases I cross drill at the bolster and pommel to make a notch at the end, and pour in lead free pewter. I also glue the blades in place in the handles. The pewter finishes up nicely. Between the pewter and the epoxy, it's a very secure attachment. I'm right in the middle of some projects right now, 6 sgians and 4 dirks. A friend recently gave me a set of Elk antlers. They're big enough that I might be able to use antler on a dirk as well.
As far as sheaths, I prefer veg tanned (carving) leather. I stitch it up, soak it in water, insert the knife and let it dry to shape. Then I can dye or finish it as I choose. I've also had good results with wood, as Piobear mentioned. I get some 1/4"x2" poplar at a local home supply. I can route out the knife cavity, glue the halves together and cover it with upholstery weight leather for a sturdy, good looking sheath.
I've used boiling for cow horn when I've made powder horns, horn combs and such for reenacting, but I don't think it would work well with antler (too solid)