What I do involves a little bit of extra work, but it makes for a really presentable sheath:
I put a needle on each end of a long piece of heavy waxed nylon thread. I cut a short length of the same thread and tie it into a loop, and lay the loop around the very bottom predrilled hole in the sheath, between the layers, before I glue the pieces. I finish all of my stitching before the glue can set up, so it works great. I start stitching on one side of the sheath, and I work only one side at a time. Starting at the mouth of the sheath, I stitch through the top hole and split the difference in length from front to back. Each end, threaded on it's own needle, I sew through the next hole to the opposite side and pull tightly. Lather, rinse, repeat, all the way down to the very bottom, middle hole, where I stitch through from both sides. I then repeat the very same process down the other side of the sheath, also stitching THOSE two ends through the bottom center hole. Once that is done, and everything is pulled as tightly as I could, I grab the end of that loop I tied, and pull, and as I do so, it pulls all four ends of the two threads I used back through the holes and out, between the layers of leather. I am then able to pull those stitches tight, and reinforce it with a bit more glue, and once it dries, I just clip the ends off flush with the edge of the leather and you can't see it.
Troy