Are saddles and horse armour only found in dungeons, or can I craft them?
You cannot craft saddles or Horse Armour, but saddles can be found in other places than dungeons, for example through trading or fishing.
From the wiki page for Saddles:
Saddles are a rare item in the game, being found only in chests inside dungeons, abandoned mineshafts, Nether Fortresses, Desert and Jungle Temples, in blacksmith chests found in NPC villages, or by trading with a villager. Also, saddles can be “caught” with a fishing rod. Prior to horses being added, Dinnerbone stated he will not be including a crafting recipe for saddles.
And Horse Armour:
Horse armor […] can be found in dungeons as well as Nether fortress chests, Village Blacksmith chests, Jungle Temple and Desert Temple chests, and in abandoned mineshaft minecart chests. Horse armor protects the horse from attacks. Horse armor cannot be crafted.