Fiebings "Leather Balm with Atom Wax" is an excellent all around protecter. I use it for most of my work. Just rub it on with a rag and buff when its dry.
There are some good paste waxes, but read the ingredients, some have volatile distillates. Same goes for neatsfoot oils, some are great, but if its says "compound" avoid.
Sno Seal, believe it or not, is one of the better products out there for conditioning your leather. Aussie Leather Conditioner by Fiebings is another great product. Both contain beeswax.
Caution on the beeswax dip, its the easiest way to ruin a good sheath if your not very very careful. Well, besides drying it in the microwave that is.

Its much easier, and safer to use one of the above products.
Edit: I just read the darkening part. The Leather Balm With Atom Wax will darken the least of all these. Aussie Leather Conditioner will slightly darken the leather. Sno Seal says on the bottle that it will darken the leather. Paste waxes will do some darkening, but not badly.
Is the SOG sheath an oil finish or does it have a gloss to it?