See below the other answers where you can buy one in White Orchard. For other options to get saddlebags:
According to the Prima guide you can win them in horse races.
In addition to saving the Northern Realms from the threat of the Wild Hunt, there are additional activities you can try; and two of these pastimes are fistfighting and horse racing. The former allows you to hone your unarmed fighting skills, and should be undertaken after reading up on the Training section dedicated to this activity. The latter enables you to equip Roach with additional saddlebags, saddles, and blinkers that help you store more equipment, increase your horse’s Stamina, and reduce Roach’s panic level. All are well worth attempting; the horse races as soon as possible.
The location of the races:
- Races: Crow’s Perch
- Races: The Great Erasmus Vegelbud Memorial Derby
- The Heroes’ Pursuits: Fayrlund
- The Heroes’ Pursuits: Fyresdal
- The Heroes’ Pursuits: Kaer Trolde
- The Heroes’ Pursuits: For the Goddess’ Glory!
Gamezone says you can craft them:
- Extra storage can be made by crafting saddle bags for your horse.
This is from Eurogamer
Once you reach the bustling village of Midcopse, take some time to explore. The armourer has an interesting selection of goods, including two cryptic maps, a range of master and common crafting components, some diagrams, magic items and some pretty decent armour. The nearby merchant, meanwhile, can offer up new Gwent Cards, Horse Blinders to reduce your steed's Fear level, a Saddlebag to increase your maximum inventory weight, plus other treats.
Witcher wiki has a Saddlebag section that is a bit sparse as yet as the game only came out today. It will be updated to show all locations. You can view it here
Complete the quest: "Ladies of the Wood".
I finally found the Baron's wife, it turns out the part about investigating all remaining leads refers to the leads about Ciri. There are two quest series about Ciri in Velen, and at this point you have to follow the other quest series to complete the "Family Matters" quest, and "Ladies of the Wood".
Best Answer
You can't effectively specialize in Heavy armor until midgame. If you really want to, just hold onto all the heavy prices you get. The "set" bonus from the Bear school perk won't be worth the armor difference on the lower level gear, but that's the only way to get it done.
Heavy armor doesn't seem to show up with any regularity until around level 20. There are heavy gauntlets in the tomb right next to the PoP guarded by a wraith in the starting area, but that's the only guaranteed heavy armor I can think of early on.
Mechanically, you'd want to wait on the armor specialization until you can craft Witcher gear, when the trade off of holding onto slightly under-leveled gear is worth the bonuses Witcher gear provides.
Sorry this isn't the answer your looking for, I felt the same way on my second (Ursine set) play through.