First off, make sure your leather is clean. Degrease it with some isopropanol too.
Then, you have a couple of choices:
1) Dip dye. Immerse the entire item in dye, gets a very even deep coat, but uses a lot of dye.
2) Spray. Use an airbrush or some sort of sprayer, mist it over. Not great on getting solvents into the air, and you can end up with the dye drying before it hits the leather if you spray from too far back.
3) Thoroughly dampen the leather with water, then use a dauber (or in my case, a chunk of cellulose sponge wrapped with denim) to paint on the dye. The dye won't absorb quite as quickly into the leather due to the water, and you'll get a more even coat.
#3 is even easier if the leather is flat (i.e. not finished goods). Mike T uses this method for his fantastic folder sheaths.