Sheath are mainly used to carry the knives to the throwing area. Once there, you will hold them in your hands. Thus, the sheath delivered with the knife will be sufficient in most cases. It should ensure that the knife will not fall out (sewn tight, snap-fastener or loop). A leg string comes handy as it prevents your tool from banging against your thigh when walking. If you attach a few string loops to a sheath, you can wear it nearly everywhere.
Of course you can make or buy special sheaths, for example to wear them on the back like a cowboy and draw from behind your neck. Instructions for such a harness can be found at thrower. I have not been able to find the right size of tubular webbing used there, but made a similar construction out of leather and rubber bands (to retain the knife). The result was not really satisfying, it takes long to put the knife back into the sheath.
Keep it clean! It is sufficient to scrub the throwing knife with a wet washcloth (or old lump) to get rid of dirt stains. Then rinse it with water, and dry it. It must be really totally dry! Then store it somewhere safe and dry. If you do this routine after every training session/day, even non stainless knives will not rust.
If you really want to pamper your knife, coat it with Ballistol, a versatile protective oil. (Where I live, it is available in every weapons store.) Rub it off the next day, or the knives will be slippery. You might also try one of those high tec fluids.
Collisions with other throwing knives or rocks on the ground will lead to dents. Be sure to fix those before you throw again, or you risk cutting your skin while releasing the knife. Luckily, it's easy to repain dents - even at the tip, since you do not need a real sharp point. Start by securing your throwing knife in a vise. Then employ a metal file, or fix a flapwheel to your power drill or angle grinder. If the knife is bent from throwing, simply place it across two bricks and stand on it till it is straight again.