I use Fiebing’s leather dye in several of the darker colours. I recommend that you wear protective gloves while dying your sheath parts, as this dye will definitely stain your own skin as well.
If you have done any stamping, pay particular attention to the stamped areas. And, depending on the colour you are using, you may well have to go over the whole thing more than once to get an even job. Be sure to apply dye to what will be the inside of the sheath as well, at least covering the upper one half or so. Also, don’t forget the welt - any part of it that will be seen after assembly should get dyed.