For quick cleanings just a wipe down with a microfiber towel, very slightly damp. For a more serious cleaning the Leatherique Prestine Clean and Leatherique Rejuvenator Oil combo is my preference. This formula is totally matte when you're finished so it doesn't feel slick or greasy. It's the same process and products I use for my seats too.
I did this recently on a seriously dry steering wheel (AZ sun), but not irreparably damaged yet. I left the oil on for 3 days, car was in my garage, and the leather is like new now. I'll do it again once it's warm again, the oil likes higher temps to soak in. I also used Q-tips with warm water to clean the around the edges and the stitching (let it dry thoroughly), it's best to get it as clean as possible before oiling.