What you don't want to do is cook the leather in hot wax/oil/water/air. Starting at a little above 100F, the leather will change to a hard woodenlike structure, and get quite stiff when it cools. This is how hard leather shields and leather armor are made. Boiling it can make it rock hard (relatively).
As aktoklat said, melt it and mix with neatsfoot oil. It will penetrate easily at about 90-100F and will buff nicely when cooled to room temp.
It is better to brush it on than to soak the sheath, unless you like cleaning out the inside. A tricK ,if you do dip the sheaths, is to plug the inside slot with paper toweling, pushing it down leaving only 1/2" of the inside exposed. Dip the sheath, let drip over the pot/tank, wipe off, and let dry. Pull the paper towels out with hemostats or needle nosed pliers.
Stacy