I dye mine with alcohol based stain from Tandy (Fieblings). If you don;t want to dye, you could just use wax. I'm not expert on this, so hopefully someone will chime in.....
Get some parrafin or carnauba wax and a heat gun (or good, powerful hairdryer). Heat the wax in a double boiler or on a hot plate to get it warm and liquidy. Heat the leather carefully until it's nice and warm, almost hot. Then, either dip your sheath in the wax or brush it on with an acid brush or something. Keep doing that and heating the leather so the pores will keep soaking in the wax. When you're happy, give it a wipedown while still warm to get most of the excess off. Then let it cool and wipre off more of the wax and buff it.
I've only done that once. I rely more on leather dye and sealer from Tandy's.
Good luck!
ON EDIT: I don;t know about linseed, but I have done one sheath with neatsfoot oil. I just warmed the sheath well and applied the neatsfoot oil with a rag. Just like the wax, I kept warming and applying. It came out allright, but it certainly isnot my choice of finishes.
ON EDIT (again): there's one more way I know of. This one works pretty good. Warm the leather and use some Kiwi shoe polish. I used "cordovan" which is reddish brown on a small piece of vegge-tanned leather (a project my daughter made). I just swirled it on with a small applicator brush, let it dry for about 10 or 15 mins, then brushed it off with a show brush. It really looked pretty nice.
