Your finish is going to react differently on different qualities of veg tanned leather. As Wingshooter stated, oil based dyes penetrate into the leather better than the spirit or water based dyes. I use oil based dyes. When I used to use mineral spirit based dyes, I would apply one thin coat of neatsfoot oil. That ends up giving you a more consistent finish when you apply the dye.
More often than not, I apply the dye after I've assembled and molded the holster. If I'm doing multi-color pieces, then I dye before assembly/molding. I apply the dye by dipping it in the dye, which is contained in a plastic container. You end up with a much more even finish than you'll experience with applying the dye by a dauber or cloth. Oftentimes you'll see streaks, etc., if using a dauber. YMMV. After it's dry, I buff it lightly with a soft cloth, removing any residue. I then spray it with leather sheen, giving it a couple of coats. Any other type of finish would be appropriate, too.
More often than not, I apply the dye after I've assembled and molded the holster. If I'm doing multi-color pieces, then I dye before assembly/molding. I apply the dye by dipping it in the dye, which is contained in a plastic container. You end up with a much more even finish than you'll experience with applying the dye by a dauber or cloth. Oftentimes you'll see streaks, etc., if using a dauber. YMMV. After it's dry, I buff it lightly with a soft cloth, removing any residue. I then spray it with leather sheen, giving it a couple of coats. Any other type of finish would be appropriate, too.