Angle Iron's heated wax is good. I've used neatsfoot oil on a sheath I made and I didn;t like it. It did soften the leather by taking some of the hardness out of my wet-forming that I worked so hard on. Not my cup of tea.
One thing to know is how is the leather now. Is it stiff as in wet-formed? Do you like it that way? Is the color the way you like it? Most guys will heat beeswax (properly...safely) then dip a warmed, unfinished sheath in it, wiping off the excess before it cools. Then they'll use the heat-gun method Angle Iron mentioned to heat the leather and rub more in. This tends to make the leather stiff (which I like) and protects it well.
I used SnoSeal on the inside of a sheath I made. This was to prevent transfer of moisture to an O-1 blade I was giving to a friend. There was no way for me to know if he might leave the knife sheathed for a long time, so I thought I would seal the leather before sewing the sheath up. I read in here that SnoSeal might be good for that, so I tried it. I don;t think I'd use it again for that purpose, but I still have it (in black) and I wouldn;t have a problem applying it the exterior of a sheath dyed black. Thing is, I rarely use black dye, so the SnoSeal will sit until the next black one is made.
Now, having typed all that unnecessay verbage, probably the best thing to do is get some Kiwi shoe polish that's about the same color as your sheath, and use it as you would on a pair of shoes. I keep a can of black, brown, clear, and cordovan (reddish-brown) and use that as a final finish on every sheath I make or have.
