It may help to dampen the leather slightly, so it doesn't tend to wick the dye as easily, since it is already moist. Experiment!
Tom
Edit:
Another thing you can do is put a light finish on, then dye with an alcohol based dye. It won't wick, but also doesn't really penetrate the leather, so is not good for items subject to any amount of wear. You will get different response than normal for the colour. Also, be careful putting the finish on over the dye. It will smear easily, so air brush is best. You need to test this first before you try it on a final product.