Dye it, bake it low temp, and make certain the dye/stain is very, very dry before waxing. I've had luck with a heat gun on small pieces - even a hair dryer works. No baking. Also, like Dwight said, you can just dip it. The heat is for the wax, not the leather. As long as the wax is liquid, and the piece is warm it should have the same effect. I keep a tiny crock pot (payed 10 bucks I think), just for my bee's wax.
Often I'll bake a flask for a few minutes after dipping, but just to get the wax to settle into the places I can't reach.