Vegetable-Tanned Leather is made with plant-based tanning solutions, not modern chemicals.  It is pinkish or flesh-colored all the way through.  It is readily available and may be referred to as tooling leather, and it is generally the only type that should be used.

Chrome-Tanned Leather should NOT be used.  It is made with chromium or other modern chemicals and can be most any color, but the cut edges are often a different color from the faces.

Topgrain Leather has one smooth side, which was the animal's skin surface.  This smooth side is called the grain side, while the rough inner side is the flesh side.  All surviving Roman leather is topgrain, as far as is known, and always seems to be used smooth or grain side outwards.

Split or Suede Leather should NOT be used.  It is rough on both sides, being the inner layer of a thicker hide which has been split into one topgrain layer and one or more "split" layers.

Rawhide is animal hide which has been dried (by salting, etc.) but not tanned or processed into leather.  It is generally white or translucent, and very stiff and hard.  It is worked by soaking in water to make it pliable, and when it dries it can shrink with great strength (so be careful what you stretch it over!).  Dog chew toys are a good source of rawhide if you don't need large pieces.  It is quite possible that shields were faced with rawhide (likely fairly thin) rather than with tanned leather.

Top row: Vegetable tanned leather showing grain side, flesh side, and grain side after oiling with neatsfoot oil.

Sewing 
With very thin leather it may be possible simply to drive the needle through it, particularly if it is a leather-working needle with a triangular or diamond-shaped point.  Otherwise, use an awl to make the holes first.  Usually you can align the pieces being sewn and punch through both at once.  Spring-type clothes pins may be helpful for holding the pieces in place while you work, or you may even be able to glue them together and then sew.  For longer seams it's best to punch and stitch a half-dozen holes at a time.  An old phone book makes a good surface to rest the leather on while you push the awl through it.  Piercing holes in this way, with an awl, leaves the leather at full strength because the fibers are merely pushed aside; punching a row of holes with a rotary punch cuts the fibers and weakens the leather along that line. 

Use white or natural linen thread or waxed nylon thread, not polyester, or artificial sinew.  Wax the thread by drawing it across a lump of bees wax, and repeat this occasionally as you sew to keep the thread from fraying.

Running Stitch--The simplest in-and-out stitch, giving the appearance of a dashed line (- - - -).  Start by making a knot at the free end of the thread, and when you reach the end of the seam or the end of the thread, knot or tie it off.

Two-needle Stitch--Use a length of thread with a needle at each end.  Put one needle through the first hole and center the thread, then pass both needles through each hole from opposite sides.  This makes sort of a double running stitch (------).  At the end of the thread or the end of the seam, simply backstitch about 3 stitches to secure it.  The same sort of effect can be achieved by doing a regular one-needle running stitch, but reverse course at the end of the seam and continue back to the beginning.