This is sort of an obvious answer, but if you're worried about a knife slipping out of (or cutting through) a cheap sheath, then get a knife with a better sheath.
The traditional outdoors knife here in Finland is the puukko, usually worn in a leather sheath that grips the handle by friction, with an internal wooden last that protects the leather from contact with the blade. I've never heard of one of these knives cutting through the sheath, nor of slipping out accidentally, as long as the sheath is well made and fits the knife properly.
(The cheap plastic-sheathed Mora knives do tend to slip easily out of their sheaths. As utility knives they're not too bad, but I'd never wear one of those things on my hip.)