To braid with leather I found that using kangaroo lace with a filler in the middle to be the best. I do a round braid using 5 strands. Check with Hide Crafters leather store in Ft Worth or any Tandy Leather store. It can be done using a 4 strand round braid, but for looks the 5 strands really do set it off. Regular cowhide lace can also be used but it is not as soft and supple as the kangaroo. Both places have some good books on leather braiding but if I remember correctly you will find the best prices on the books at Amazon, a lot of wannabe braiders sell the books after very little use and they land up on Amazon.
Marvin