My GTS leather wheel has always been kind of oily, like a residue over the whole wheel, obviously from years of contact with hands and oils.
However, I recently purchased a new 2004 shift knob off ebay for like $13, and it felt very mat and "non-oily"
So, using my old knob, I tried to clean the leather, and tried a couple things.
One of them worked FANTASTICALLY. Non-chlorinated brake cleaner from Coastal. It took off the oil, and left the leather feeling mat and dry. A quick wipe with Maguiers leather wipes, and quickling drying that off replaced the feel of the wheel and the shift knob to the way that it was when the car was purchased.
Spray a small amount of cleaner onto a paper towel and wipe the surface down. Use it sparingly.
Test an area of the wheel that is unseen to make sure it works with your cleaner if you try this, even better to use an old shift knob something of that nature