Last summer I did some pyrography on veg tanned leather, and those fumes were strong, too. I had a large fan and a particle mask on the whole time.
From my own mistake, I should have mounted the leather first. Perhaps with rubber cement first? (Not sure how the heat would effect that, though.)
I, too, am curious if anyone has had any success.
I made a "spirit board" or sorts for a friend to use at a renaissance fair.