When the leather is wet it becomes very soft and pliable. Make the sheath so it is a fairly tight fit around the handle. Wet the leather until it becomes soft (a soaking for a few minutes will do). Mop off the excess water with a kitchen towel then push the knife into the sheath, moulding the wet leather to the shape of the knife. Squeeze the leather below the handle so it takes the shape of the blade then leave it to dry.
Once dry you can pull the knife out. It should come out with a bit of a pull (Ideally it should be tight enough so you need to pull it out with the lanyard - assuming the sheath goes right up to within an inch of the top of the handle.)
Assuming it fits nicely, tidy round the edge where you've stitched it to make it nice and smoothe. I use a belt sander to get nice and close to the stitching. You can use an edge beveller too, but it isn't strictly necessary.
Once you have the sheath the shape you are happy with, melt some beeswax and brush it on the outside of the sheath (if you don't have a lot), or imerse the sheath in beeswax (if you have plenty).
You'll find when you take it out that the wax sets hard and white on the leather surface. You need to get the wax to penetrate the leather, so find a piece of thin dowel and stick it in a piece of wood so the dowel sticks upright and stands on its own. Place the sheath over the dowel, put the whole thing (wooden base, dowel and sheath) in the oven (preheated to 200 deg F). Stick it in the oven for three or four minutes then check it. You'll see the wax melting off the leather (it is also penetrating the fabric of the leather). Remember to place an old plate or baking tray underneath to carch the excess wax otherwise next time you use the oven you'll get the smell of burning wax.
When the wax has melted, remove the sheath from the oven and wipe over with a rag. Allow the sheath to cool. You'll now find the sheath is as hard as iron (well almost).
To get a high gloss shine, you just need lots of spit and polish. It's the same technique soldiers use to get their toecaps mirror like. Take a tin of shoe polish and a yellow duster. Wet the duster then wring out. Wrap the duster around your index finger and rub onto the shoe polish. Start applying the polish to the sheath. Go round in small circles over and over again, a small section at a time and you'll see the sheath starting to take a shine. Keep poking your finger/duster in the polish and applying more and more polish, rubbing it in in small circles and you'll get a beautiful highly polished finish that will have a rich deep shine.
Near the end, you'll get the mirror finish if you spit on the sheath as you rub the polish in.
Eric