I have hot waxed lots of sheaths. Here is how I do it:
I use Gulf Wax, which is used in canning, candle making, lots of other stuff. You can buy it wherever canning supplies are sold, and it is cheap.
Use a double boiler, which is a double pan set up where the bottom pan contains water, and the upper pan floats in the water. Put the wax into the top pan, and turn the water below on to boil.
The hot water in the bottom pan will melt the wax in the top pan. Make sure that you have enough wax in the top pan to completely submerge the sheath or whatever.
When the wax is completely melted, gently place the sheath into the wax, and push it down so that the wax can flow into the interior of the sheath.
Let the sheath sit in the wax for a couple of minutes so the leather can heat, and the wax will be able to soak into the leather. Turn the sheath over a couple of times. I like to use wooden shish-kebab skewers for this.
When the sheath has soaked in the wax long enough, slip one of the skewers into the interior of the sheath, and slowly pick it up out of the wax, allowing the hot, liquid wax to flow out of the sheath back into the pan.
I use a clamp to hold the end of the skewer so the sheath will be held vertical. The hot wax will drain out of the interior of the sheath, mostly.
The wax will harden up fairly quickly, but because the leather is warm, this take a few minutes. I like to insert the knife back into the sheath while the leather is still warm and the wax is fairly soft. This will allow the knife to hot form the wax and sheath to the shape of the knife, and it will make a more secure fit. I also use a soft cloth to wipe down the exterior of the sheath and remove any excess wax from stitching, etc. It wipes off easily while the leather is still warm.
The leather will harden up when the wax and sheath completely cool. This is a good thing, because the sheath will be tougher and hold its form better. The knife will almost have a snap fit after a good hot waxing. If the leather is too soft after hot waxing, the wax will bend and crack, and you will be able to see it. The leather will be almost like plastic when you are done, but that's OK.
Andy