Hello K Williams,
I build my knife sheaths out of tough Water Buffalo hides, that are 7-8oz or 9-10oz in thickness. If you have a sheath that is made with thinner material, then I would cut back on the time your sheath is in the oven and the hot oil.
One of the reasons I use Bees wax is that it gives the raw leather a nice mellow tan color, and they say it is the best natural wax there is. For the saddle oil, I use Neetsfoot Oil, from the Tandy Leather Company. I melt the wax and add equal amounts, (50/50), of wax and oil, into a long metal Bread Baking Pan. This I set on a hot plate, with lots of newspaper under it. You can use your kitchen stove, but if you spill any of it, it's not easy to clean up, and there could be hell to pay from the little weoman. Slowly heat the wax mixture to a point were it just starts to smoke. While this is heating, preheat your kitchen oven to 250 degrees. I have found that the hot wax will sink into the leather quicker and completely, if you heat up your sheath too. So into the oven goes the sheath, on a pice of foil. For the ones I build, that are big and thick, I let them stay in for about 10 minutes. For a thin, sheath I'd say just until the insides are VERY warm. Then out of the oven with the warm sheath, and into the hot wax, submerging it completely. Only for about 1/2 a minute. Then pull it out and drain the excess from the inside. If you leave the sheath in to long, it will take up to much wax, and will always have a waxy feel to the sheath. If this happens, you can put the sheath back in the oven, and melt out the excess wax. I leave the wax mixture in the pan, it will harden, and just reheat it over and over again.
Best of luck with your project.
Jay maines
Sunrise River Custom Knives
www.sunrisecustomknives.com