I just got a piece of soft leather from Oregon Leather Company in Eugene. They always have scraps of leather that aren't really for making really great stuff, and are at a good price. I got a big chunk for under $5. A chamois skin for drying autos would probably work too.
I first cut a strip of leather about the right length for my fingers to the knuckle, and then sew 1/4 inch elastic on one end slightly stretched.
Then I form it around my fingers and thumb and mark and then sew.
I usually end up sewing several times as I form it to fit my finger good.
I have also had the leather stretch and had to resew again. Just trimmed the excess off. I ended up cutting the tips off the index finger thimbles, but left it on for the thumb. Works for me.