I got tan deerskin on ebay for about $10 for square feet. Here is a similar size
to the one I purchased. You can also get leather at your local Tandy Leather store, but it 
will be a but more expensive.

I am using a rotary cutter for fabric, it works amazing for this soft deerskin. Its from Jo Annes
and was about $50 but use a coupon or get a cheaper one for about $15. I use mine
for cutting fabric so I need a nice one, but any rotary cutter should do.

You can use scissors also but you need a very steady hand, and will need to trace out the lines before you cut the leather. You can use chalk, which will wipe off easily with a little rubbing. 

The ruler I used is for quilting, but you can use a smaller ruler if you dont have this.

 Measure about 1/8 of an inch, or thicker depending on how wide you want the anklet to be. Mine was about 1/8 inch.

 Hold down your ruler with firm pressure so it doesn't slip, and keep the rotary cutter tight against the side of the ruler so it cuts straight.

 Cut 3 strips, about 16 inches long fit my ankle perfectly.

Hold the three strips together at one end

 Hold the three strips together with your pointer and middle finger at about 3 inches down from the top. There should be 3 inches of lose leather dangling. Using the rest of your fingers and other hand begin to braid the leather together.

 Take the two strips on the outside and tie it in a knot over the middle one. You can alternatively tie all three together at once before you begin to braid, but it makes the knot really clunky and big.

 It should look like this at the end. You can leave more or less leather dangling depending on how much it takes to tie together, or how much you find aesthetically pleasing.

Continue to braid, and keep checking the length around your ankle so that it fits
just the way you want it to. 

Tie off the other end the same was as before. Take the two outer strips and tie a knot around the middle one.

TA DA!!!