If you are worried about softening the leather, instead of shoe cream use "Sno-Seal" leather waterproofing. You should be able to find it in most sporting goods shops. It doesn't soften leather at all, but is soft enough itself to be able to carry the powder easily. If has the consistency of petroleum jelly but it had no petroleum in it.
There was a reason for my parting question about the required thickness of the compound application. Human hair averages about 100 microns thick. That would mean that when using a compound with a .5 mic size, a layer of if just the thickness of a human hair would be 200X thicker than needed! I know that when I rub a CrO2 bar onto leather the resulting streak is as least as thick as a hair. When I see videos of people melting it on in a layer 1/16 inch thick....
Not saying that this doesn't work... I'm saying we don't need to use that much of the stuff to make it work correctly.
Imagine a 2000 grit ceramic stone. The very top layer is 2,000 grit, as is the rest of the stone. But the blade doesn't contact anything other than the top layer. Perhaps down one or two, but certainly no further. It's the top layer that's doing the work. Same with compound. It's the top layer, a layer that is 200 times thinner than a human hair (lets say only 100 times thinner to give us some wiggle room) that's actually making contact with the steel.
I know when I first began using compounds I really laid it on. I was using the liquid CrO2 and completely covered the leather and let it dry. I did the same thing when I first used the bar compound. Really colored it all in like with a crayon (I did try to keep inside the lines.) When I tried using the powder (and I tried using it dry... mistake for me...) I put it on like powdered sugar on a cake. I completely covered the leather until you couldn't see any brown. (Actually, I completely covered most of the room that way.) Then I started doing some research in the wood carver's forums and learned that those guys would only apply compound 3-4 times a year even though they stropped their carving tools every day. They all said 'if you can see a greenish tint, you still have enough compound.' I started doing it that way myself. It works perfectly.
But Karl... here's a thought; if you are using compound, you are negating the silcates in leather (they are much smaller than the compound that will cover them.) Why not put your powder on a piece of MDF board? Still mix it a bit to keep it from blowing, but it certainly won't soften anything. That way you can have a good hard surface for compound, and use your leather bare to take advantage of its natural silicates? Best of both worlds?
Stitchawl
the first time I used it) with just a little dab of soft shoe cream or neatsfoot oil. I mean a real LITTLE dab. Just enough so the powder isn't powder any more. I've also mixed the shaved bar stuff with lighter fluid but I don't think that's particularly good for leather. When I put on the powder mixed with soft shoe cream, an amount the size of a green pea covers my entire strop just fine, the shoe cream migrates into the leather, and the CrO2 is left behind on the leather and into its pores. As you can imagine, a pea-sized bit of shoe cream doesn't leave much to dry out... 
opcorn:
.
as does cro3