You could technically do this project with just a knife and hot water, but that would look a bit messy.
First thing first, start at the following site: http://www.armourarchive.org/patterns/
Now, when I do arm armor, I use 10 oz vegetable tanned leather. I harden it using the water hardening technique listed here: http://www.daviddfriedman.com/Medieval/Articles/Perfect_Armor_Improved.htm
But instead of immersing the leather in water, I pre-soak it in the hottest water that I can get from the tap. While it's soaking I then heat a pot of water to around 190 degrees. Once it hits that temperature, I set the soaking leather in the sink and very carefully pour the simmering water over the surface of the leather. You'll be able to see the color change so you can really judge what parts of the leather need more effort. When you finish this, you CAN form it around your own arm, but wrap it in a dish towel first.
The leather will start to cool and harden, so keep it on your arm until it starts to hold it's own shape. Ultimately, what you're looking for is the leather to hold it's shape while sitting on a flat surface without collapsing. After this has dried and hardened (I typically wait 24 hours. You can take an edge beveller to the edges (Inside AND outside, since that can get really sharp once hardened.) Just a reminder, Make sure you oil the surface BEFORE you try to flex it in any way shape or form. If you don't add a little oil, it WILL crack the surface.
For this project, you'll probably want spalders, rerebrace, vambrace, and elbow cop. If you feel ambitious, I'd make a gauntlet with articulated fingers that would look awesome as a prosthetic.