IMO, once you've applied any finish, it's too late to go back and wet form. Personally, I wet form all my sheaths... I think it's one of those details that reads "value added" to most buyers. There are a couple of things that will dramatically impact whether wet forming works well or not.
#1. Firs and foremost is the quality of the leather being used. A quality Oak (also called "bark", "vegetable" "natural") tanned leather is a must. Cheap, chrome tanned leather simply doesn't wet form well.
#2. You must ensure the leather is "in case" (moldable) once wetted. That generally means HOT water, and allow the sheath to soak for a minute or two. The way I tell when the leather is "in case" (moldable) is that is actually smells like cows.... and maybe even faintly like cow manure.
Next, I make sure my hands are washed/clean prior to starting, and once the leather is in case, I insert the knife, and use my hands/fingers to "mold" everything the way I want it.
Another option to achieve a very tight molding, is to oil or wax the entire knife well, then wrap it in saran wrap, insert it into the wet sheath, and then, using a typical household vacuum sealer, put it inside a bag, seal it, and leave it overnight. It won't dry a bit, but next day the leather will be a tightly formed to the knife as it's ever going to be. (Provided you followed #s 1 & 2 above.
Cut the bag open, gently take the knife out of the sheath, and hang the sheath to COMPLETELY dry. Check the knife to ensure it didn't get and spots or stains on it!
There are times I will do the vacuum seal thing, but the risk of getting a rust or tarnish on the blade or fitting is pretty high.... and nothing is worse then having a knife completely done/detailed, and then have to go back and try to fix something that could have been avoided.
As I always talk about..... it's another "trade off" in making knives.