Lightest material for a sheath?

Military cases are made of webbing type material, probably lighter than leather.

When I broke my wrist the physical therapist made me a custom brace out of heat moldible plastic. She put it in boiling water, let it cool a bit than wrapped it around my wrist. It was soft when it was hot but it hardened when it got cool. I imagine you could busy similar stuff but here would be some things to think about.
1. How are you going to get a peice big enough for a machete into a pot? You'll need a big one.
2. I was actually going to save my brace for a sheath project of my own so I left it in my car. It heated up in the hot sun and collapsed into a blob. Make sure it won't melt if its 100 degrees!

My grandfather made a machete case by folding thin sheet alumanium, don't know about weight but very safe.

Luke, that's pretty much what kydex is, a thermoplastic. You can actually do the same thing with a pvc pipe and a heat gun.

If you are going to strap the machete to your pack, or something like that, and don't need to carry it on the belt, you can just use a car door protective edge-molding strip as a blade edge protector. Take it off when you are going to use the machete. Very quick and easy on/off, and weighs next to nothing. Stops the sharp edge from cutting anything accidentally.
If you need extra retention to ensure that it stays in place on the machete, use a couple of rubber bands or something like that.
I don't think you can find anything lighter than that.

An alternative if you want to do belt-carry, if you can sew, is to get some of that woven kevlar cloth that they make kevlar fishing gloves out of. Then make a "blade condom" type sheath for it, with a small stiffer entry piece out of kydex or whatever that can attach to your belt. Make sure they are all attached together well.

For a sheath my fixed blade knife, I use the same sheet aluminum that is used for stove wind screens. It's both light, durable, and easy to form by hand.