To find materials, I'd go for a local craft store- Michael's is the one I go to, not sure if you've got one around you.
1. Nylon halters- Grosgrain ribbon, which I get from my Walmart (my Michaels doesn't carry it), jump rings, (I wanna say mine are 4 mm but I'm not positive) which I get from my craft store, lobster claw hooks, local craft store, and hot glue.
Following your basic halter pattern, use the jump rings for the rings on the halter, and then the claw hook for the cheek piece. Have the model on hand, otherwise it's not going to fit well. If you need more help, PM me and I can give you a more detailed description, but it's pretty easy to figure out once you do it a few times.
2. Leadropes- I use the craft rope/thread (it's like thread, but thicker?) from my craft store, and lobster claw hooks. I braid the material and tie off a hook at the end.
3. Saddle pads- Felt, or other material, plus thread. I sew mine, because using hot glue will just make a mess and lead to several burned fingers. You can sew patterns if you're really ambitious, otherwise just sew round the edges of a square piece (again, use a model to measure so it fits).
4. Western bridles- I actually find that regular bridles are easiest. I use thin leather lace from my craft store (warning, it's a bit on the expensive side for not a lot of lace) If you go the leather way, make sure the lace is VERY thin. Otherwise you're going to have some problems. For this, I use two jump rings for the 'bit' and then I just make a basic bridle with no buckles (feel free to experiment if you'd like, but it'll just make it harder to get on & off) Make one long piece for the cheek pieces, a smaller piece for the browband, and don't make a noseband. Then take two long pieces, attach them to the 'bit' and tie off the ends for reins.
5. Reins- what do you mean?
6. Western saddles- Get a sheet of leather, whatever color you'd like, and experiment. I haven't tried making saddles, it seems really hard. You'll need to make a tree out of wire, or apoxie. Then build up around it. Use a lot of reference pictures. Good luck!
7. Turnout blankets- Get some material, and use lobster claw hooks as fasteners. It might not look pretty, but it'll be functional.
8. Show halters- I'm no help here, I'm mostly a nylon halter girl.
I've found, in my two years of making strictly halters, that the more you do it, the better the product is. Just keep trying.