I bought one of the stitching awls that has a bobbin in the handle, but I could never get it to work well for me.
I prefer to hand stitch with two needles, passing the needles through the same hole from opposite sides. Especially if the hole is punched with an awl, rather than drilled, the hole closes back up and really locks the stitch tight.
I generally use 6-7 oz leather. By the time I have the front and rear layer and the 3rd layer of the welt in between, I have to punch the holes with a regular, straight leather awl and have to lean on it pretty hard to get it through. The alternative, which I have to use if there are maybe 7 layers in a large Bowie knife sheath throat, is to put a very small drill bit in the drill press after marking the hole locations with a marking wheel.
The thread I buy is heavy hand-stitching nylon that is already waxed, but I usually wax it again myself with beeswax.
If you can get your hands on a leather stitching book (Tandy carries one by Al Stohlman) it will speed up the learning process A LOT.
There are also some excellent tutorials on U-tube if you do a leather stitching search.