Olive oil will go rancid - I tried it some 8-9 years ago on a leather tobacco pouch for a friend. He didn't like that :roll: :tw: ...and I promished never to do that again :tw:
I use leather grease and leather oil bought at my leather supplier, but I also use a paste based on a formula by famous Norwegian knifemaker Asmund Voldbakken, and it works very well. The paste is made by melting and mixing lanoline, beeswax and peanut oil.
You work the paste into the leather by rubbing and the warmth of your hands will gradually melt the stuff into the leather. I know that some people also add pine tar to this mixture, and that gives the sheath a real nice "bushy" smell.
You can however also use ordinary shoepolish for leather shoes / boots - use a colour that matches the colour of your sheath, or just use a neutral colour. If the polish has silicon as an engredient you should know that this is known to weaken the leather (over time) and rot the stitches made with a natural fiber thread (again over time). I have never seen that, but the leather gurus tell me so.