Try mixing beeswax and parafin, 50-50. Sponge the edge without soaking it and wax it up. You can use anything from the above mentioned techniques all the way to a wooden or felt wheel on a 1700 rpm machine ( ala John Bianchi) but half the battle is the quality of the leather.
If you rely only on water the edge will fray a little faster. Gum Traganath, although pretty stinky, will help hold the edge but you gotta work it in with the denim, or whatever you are using. Most of the off the shelf retail products will crack or wear or peel off over time .
I used to use a wick lamp, iron heated to deep purple, and wax on the edges of the soles I put on shoes, but it was hard to work with safely.
Just kep at it and you will find your niche.