It's easier than you think. When the zipper is closed, its pretty much at right angles to the curve and zippers flex like that quite naturally.
(N.B. This was the first zipper I ever sewed and I made it up as I went along but it worked fine. There may be a 'proper' way, or a 'better' way but this is 'my' way.)
My approach to it was:
1) Cut out the leather using my template
2) Apply contact adhesive to the back of the leather, leaving a half inch, adhesive-free border all around the edge.
3) Press the leather onto some pig skin (or lining of your choice), stick a heavy book on it and leave glue to dry.
4) Cut around the leather to trim the lining.
5) Any edge treatment.
6) Score a line around the edge of the leather 4mm in from finished edge.
7) Punch stitching holes right through leather and lining with a 4mm punch.
8) Fit the fabric tail of the fully opened zipper between the leather and the lining so that the metal crimp where the two sides of the zipper meet is centered in one of the 10mm circles on the template.
9) Start saddle stitching from the hole nearest the middle of that tight curve. A few stitches will get you level with that metal crimp.
10) Use spare needles to pin the zipper in place a few holes ahead of where you're stitching. I lined up my zipper and pinned it 3 holes ahead of the last stitch, did two more stitches then check the alignment and re-pinned 3 holes ahead, and so on...
11) Be careful not to pucker the zipper fabric between stitches. Puckering behind the stitches, between the leather and the lining, is fine and won't show.
12) Make sure there is enough clearance between the zipper teeth and the leather, for the zipper pull to move without scraping your finished edge. I aimed to get my Zipper to be 10mm wide when closed: The same as the diameter of those little circles.
13) When you've finished sewing one side, start from the same stitching hole and sew the other side.
14) Finish your stitching as normal but be careful not to hammer your zipper and damage it.