I have hardened leather by immersion in boiling wax, but I find that method can easily make the leather brittle. My preferred method is casing the leather and then letting it dry under conditions of dry heat, and then applying hot wax to protect it from moisture. I based this on Cennino Cennini's instructions for making leather crests.
Start with vegetable tanned leather. I have used 1/4 inch sole leather. Once cut to shape, I bevel the edges. Case the leather. Once cased, I round the edges with a plastic pulley wheel and tool the edge so it resembles a rolled edge on metal armor.
I shape the leather over a form. For open greaves, I made a Hydrocal cast of the front of my legs. For comfort, the form should have some extra flare above the instep. I used strips of cloth to force the leather around the form.
Cennini tells you to put the leather in the sun for "a good many days". I left it in an oven set on "warm" until dry.
I dye the leather and then apply molten wax heated in a double boiler. I have used paraffin candle wax: beeswax would be more authentic but more expensive. Brush it on and then use a hair dryer to keep the wax liquid until it is absorbed by the leather. Repeat as necessary until the leather is coated well.
Finally, apply shoe polish the same color as your dye. Use the hair dryer to help it soak in, and polish as you would shine a shoe.
Update: visit Mark Carlson's fine site for much more.