348srfun and I have put a good many leather handles on our knives. Mountain man got it right. To add a few details, each leather washer needs to be cut to fit the tang. This will eliminate any twisting or looseness. The washers are glued together individually by coating them in slow cure epoxy, sliding them on the knife's tang and then using a press to compress them while the epoxy cures. mtnman1's method of compressing the wet leather works too. It just takes the leather too long to dry out around here and we have found we get the same result by compressing the leather that is soaked with epoxy.
Don't use contact or barge cement to glue the leather washers together. You will need something that penetrates the leather to seal it, as well as bond the leather washers together.
After the epoxy cures, shape the handle and soak it with the thin superglue. You will still probably want to put a finish on the handle after shaping and polishing the leather. This makes a tough, hard wearing handle that has a traditional look.
A thread like this is better with a few pictures