You have to condition it with a true leather conditioner. Some conditioners are just like dressing and will leave it super slick.
I use CG Leather Conditioner and it works great. Just put a small amount on a foam pad, put the pad in the palm of your hand, grip the steering wheel as normal, and work your way around. Let the conditioner soak in for a bit, then come back with a good MF towel and to the same thing (place in palm, grip steering wheel as normal, yadda, yadda yadda). You just want to get the excess off. It makes the wheel feel smooth, clean, and is not slick at all.
2006 E90 SG-Dinan Ram Air Intake-Dinan Throttle Body-Dinan Exhaust-19' Hyperblack CSL's-15/5 tint-Matte Black Grills-M3 Spoiler Lip-Amber Delete-Smoke Side Signals