As Geoff says, it all depends on the result you seek. It's all really about looks. I tend to work with oak tanned leather and treat it with neatsfoot oil, then cleaned and polished with saddle soap. But dyeing the edge with the same dye you use on the leather is fine in most cases. Edges look a lot better and more professional when they've been rounded over with an edge beveler, then burnished with a bone (or similar tool). Beveling the edge is a must for a "professional" look for things like belts, saddles, etc. Your eye really catches it if the edges aren't cleanly done.
Good luck, dive in, have fun,
George