
Modern thread is not going to rot.. linen thread though that will.
Soaking in oil is bad anyway, it loosens the fibres in the leather and will make it eventually go all wrinkly and weak.
Clean the leather, then rub in some oil with warm hands.
If its good quality leather, it will last ages - if its cr@p then nothing you will do will improve it (and most dog collars are made of rubbish leather).