I've been considering getting a Donek drag knife for my Shapeoko --- I find cutting leather tedious and trying, but would be patient enough to carefully pull pieces apart and finish any corners which it didn't finish cutting.
Probably though, a laser would be a better option, for the reasons stated by others already in this thread. I've been considering drawing up a set of items and filling up one of the leather sizes available at Ponoko and then ordering that --- it's kind of pricey though.