I would say it depends on what type of leather and style of sheath myself.
With Veg tanned leather western style sew the sheath then wet it I would also advise then chilling it in the fridge wrapped in cling film for at least half an hour.
For a Scandi sheath in halftanned leather wet it before sewing is the norm and again at least half an hour in the fridge wrapped in cling film.
I would also advise cutting you nails if they are long and taking it slowly to reduce marks on the leather. A neele grip or piece of bike inner tube help with puling and pushing the needle. Spend plenty of time getting the holes big enough to make the needle pull through they will close up when wet if you dont drill them.
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