Do neurotransmitters form the myelin sheath?

No, not at all. The myelin sheaths are actually made by other living cells in the nervous system known as glia. Two types of glia myelinate the nervous system: oligodendrocytes and Schwann cells. The oligodendrocytes for myelin in the central nervous system (brain and spinal cord) and the Schwann cells form myelin in the peripheral nervous system (everything outside the brain and spinal cord).