Does anyone have any tips or products which is recommend to protect leather covered steering wheels?

I've just found an original steering wheel for my VY (actual from a VZ Calais) which hasn't been re-covered and still very good condition apart from a few minor marks.

I use Dubbin. It's what horse people use on saddles & tack. You dab a bit on a rag & rub it into the leather - it sort of absorbs into the leather a bit too. It's only greasy until you buff off the excess with a clean rag.
I use it on the Momos in the Brocks, the VE and my FG and it works well.

It doesn't work on the coated leathers that are very popular on a lot of really new cars (more so at the cheaper end of the market). Nothing penetrates them, because it's literally a thin vinyl layer over the leather.