Im with Ray, I use different finishes depending on the piece and how it will be used. Most of my knives are hunting knives that will see field use in a variety of environments. So, currently, I finish them with a blended mixture of Neat's Foot Oil, Paraffin and Beeswax mixed in equal parts in a double boiler, jarred and allowed to cool. The result is a paste that can be applied with your fingers and then soaked in with heat or applied in warmed liquid form, which is how I do it.
I take my sheath to be finished and make SURE it is vigorously buffed with a microfiber towel to remove all traces of excess pigment from dying. If you do not do this, the pigment will continue to rub off indefinitely.
Next, I'll take a spoonful of the paste mixture and put it into a heat safe bowl (I use a pyrex dish) on my electric stove on low to heat it up back to liquid. While it's heating, I turn my toaster oven to BAKE and to it's lowest setting possible (around 150*). I put the sheath into the oven and heat it up. Remember, if it's too hot for your hands, it's too hot for leather. When it's evenly heated, I will take a small paint brush and brush the liquid oil/wax combination onto the sheath. You will immediately see the sheath start to soak up the mixture. A word of warning: any color other than black, will take on a much darker tone with this finish; dye lighter shades if you want to keep them light.
Once the sheath is covered good with the liquid and it's starting to congeal, I'll put it back into the toaster oven to reheat. As it reheats, the pores open back up and the mixture is pulled into the leather. I do this a few times, till I am sure the leather has been substantially treated with the mix. After the last coating, you will have some build up that didn't get soaked in. I take a microfiber towel and buff off the excess as well as buff the finish. You wind up with a nice satin matte finish that has just a bit of shine to it. If you want a bit shinier, you can apply some clear Kiwi shoe polish and buff accordingly.