If nothing else, a worn out mocassin will make a good cover. Most illustations I recall (Rindisbacher, etc.) show it just thrust into the belt, with no cover to the blade. Often, when I'm using my half axe, I'll carry just in my belt at the small of my back. But this is when I'm using it frequently ---trapline, out gathering wood, making a shelter, etc. I'd agree with Dan that an unsheathed blade on horseback is an accident waiting to happen. It's pretty easy to extemporize some sort of covering for when it's not in use.
Rod