My wave came in a leather sheath that also houses the tool adapter. This is a good sheath with a bit of spare room. I have added a Hot Spark and a couple of commonly used hex wrenches to it.

I think the Leatherman tool adapter is very useful. You can use it either attached to the tool or separately. I have added few bits that are specific to my normal uses. I recommend the adapter.

I added a slip of plastic across the belt cuts to prevent the Wave file from rubbing on my belt.