If you are simply trying to get your new sheath hard. Just wet it in warm water, and let dry for a day or two. The final finish is up to you. Everyone seems to have a different method.
I heat my DRY sheath in a 180-200 degree F oven for about 12-15 minutes and dip in Lexol NP, for just a few seconds, rub off the excess, let drain and put a coat of Kiwi shoe wax on them.