You might try it on a piece of scrap...Leather will perferate with every stitch, as will vinyls and faux leather products. You certaily wouldn't want it seperating at the stitches, so I wouldn't make them very close together and I would use a sharps or leather needle as well.
I will be curious to see how/if this works well. Good luck with your project!
I have embroidered on leather with my Husqvarna SE... on a leather vest for a friend who was in a motorcycle club and it worked fine. Just can't use a very dense stitch out and need a good stbilizer.