The surface of my wheel left a lot to be desired so I purchased a new leather "wrap" from eBay to go over it. This wrap is now showing wear like you have pictured. I had thought that the easiest thing to do was remove the old wrap and replace it with a new one but I will try applying a very thin application of Dubbin to see if this helps restore the leather's condition.
I had a similar issue with one of my old cars but that started by someone when they did a wheel alignment. They clamped the steering wheel with something that had a sharp edge which cut the leather. I bought one of the ebay replacements and it turned out great. I sold the car shortly after so don't know if it stood the test of time but I'm guessing it would be ok.
Your wheel looks to be suffering from perspiration damage. The salt will eat into the leather. You could put boot polish onto it but I don't think it will do much other than make the wheel sticky. The boot polishes are wax so will break down in heat. I would probably recover it and then give it a regular wipe over with a good leather cleaner to keep it clean and protect it from the salt. Alternatively you could always turn yourself into one of those rather dapper chaps that wears leather driving gloves.
As I said I have no idea how long the cheapy I put on lasted for but it looked fine and was definitely real leather. Nothing likes UV and heat. Maybe one of those leather slip on types would be better if you can find the right size?