Don't go without...

Update 12/10/13:  This post contains information that is probably incorrect.  Please see here.

You need at least two items to get along while in costume:

Drawstring bag
I don't know what ancient Persian luggage looked like, but as a stopgap measure you can use a simple drawstring bag.  It should be big enough to hold your lunch, water, wallet, cell phone, watch, glasses, meds, a mini-first aid kit and any other small objects you think you'll need.  Use soft leather or a heavy period fabric (a lining of finer fabric can help prevent objects bulging or poking through if the outer shell is a loose weave).

At Marathon I used a jute burlap bag with a long drawstring that could be worn over the shoulder.  I found the jute shed far too much and the cord was pretty uncomfortable.  I'm preparing to experiment with linen burlap (rug backing).  Possibly cutting out the section of the cord that actually goes over the shoulder and replacing it with a section of wide leather strap or fabric belting would make wearing it more tolerable.

You may, alternately, wish to keep a few things like your phone in a small bag (pocket) tied to your belt.

Water bottle
Some groups allow members to drink from modern bottles covered in a tight-fitting drawstring leather bag.  Others prefer that you use a waxed leather bottle.  These are readily available, for a hefty price, but are fairly easy to make yourself - see here for detailed instructions.

A few notes on leather bottles:  Make the smallest stitch holes you can still get the needle through, to reduce the chance of leakage.  You don't need a double boiler; a stainless steel bucket on a steaming rack in a pot of water works too.  You do need a massive amount of wax.  To save money, I used non-food-grade paraffin from a nearby candlemakers' supplier.  No idea if this is safe, but it hasn't made me sick yet.  Last but not least, keep your bottle out of the sun - you don't want the wax around the seams to melt.

Next up:  Chapter review!