Several possibilities, depending on the thickness and softness of the leather... I use buttonhole thread (and apply beeswax), "outdoor" heavy polyester thread, carpet thread, shoemaker's thread and waxed artificial sinew in ascending order of diameter. Another trick is to use a small pair of needle-nose pliers to push and/or pull your needle through. It is NOTHING like sewing cloth. If your needle and thread go through without considerable resistance, then your holes are way too big.