Andrew-
I don't do kydex, but I do a lot of leather covered wooden sheaths and this is my procedure.
"Case" your leather first - ie dampen it, not soaking wet, with a sponge until pliable - let it set until it returns to almost the same color as dry, but it will feel cool and damp. 2 oz is pretty thin so it won't take much time or water to do this.
Wrapping it around your finished piece and then molding it should work great if the molds will accept the extra thickness. I'll bet that being the leather is so thin you should be able to just wrap it around the kydex dry or very lightly dampened and "bone" it to shape. To bone it, take an antler tip or bone folder and rub the leather to the shape of the kydex. If you're real careful you can do this as you contact cement it to the base, which brings us to glueing.
Glue = contact cement #1 choice. Put a THIN coat on the leather and let it dry. Pigskin is pretty porous so use only thin coats of any glue. Then put another thin coat on both the leather and the kydex. Let the glue dry until tacky (should look shiney but dry). Stick the parts together.
You can also put a thin coat of glue on the leather before dampening and then put another one on the leather and kydex after dampening and then just glue and clamp or bone it around the kydex. Experiment on some scrap so you get the feel of it. Remember when working with contact cement that the two parts will stick to each other where ever it touches. Use waxed paper as a "resist" in order to keep parts from sticking together until you are ready for them to stick.
First alternative is to use vinyl flooring cement. I've got a friend who makes leather covered wooden cases and this is what he uses. Positioning isn't so critical as the glue doesn't set for about 15 miutes.
Second alternative would be to try a thin coat of carpenter's white glue (the waterproof kind) and then clamp the pieces together (if your molds allow it).
Finish: I would use either Fiebings Leather Balm w/Atom wax or their Tan Kote. Both excellent products designed for use on leather that will give you a water resistant low sheen finish. A finish coat of carnuba (you can get get it through Tandy or Leather Factory or just use Turtle Wax) would also work, but it will give give you a high shine.
Hope this helps - any questions feel free to give me a shout.
Chuck