Stitching a leather cover on a 69 rallye steering wheel.

I have never done a wrapped wheel, and admit I have not taken the time yet to watch the how to videos. But I have done lots of leather work as in saddle repairs, tooling and saddle stitching lots of small stuff. You have already bought your kit and maybe it was reasonable pric but I will mention this s a source maybe to those looking to such as you.
Tandy Leather or Springfield Leather as place to get the leather, straight or curved harness needles, thread, cotton ir nylon ( I would bet on the nylon). I would get very thin and supply grain cowhide leather. These places have all types of leather and from all the various parts of the hide to full ides of all kinds of critters.
Springfield Leather in Mo is a huge store and Tandys are scattered all around. Key is a talking to the right salesman!!