Sheaths are dyed with oil or alcohol based dyes and usually finished with mink oil. Occasionally a sheath will be finished with linseed oil or Wet-Pruf on request or for a special purpose.
The most basic sheath care is simply to apply more of the same to the sheath whenever you feel it's getting a bit dry or thirsty. (Linseed oil is an exception, as it probably won't dry out once the oil is cured).
Before re-oiling, you may want to use some saddle soap to clean the sheath. A toothbrush makes a good tool for getting into the stitches.