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.