I have a leather wrapped steering wheel on my Ti and have driven a loaner SE with the plastic steering wheel and leather is definitely the way to go!
But wouldn't it be easier/cheaper to buy a leather wrap for your existing wheel? There might be a craftsman somewhere in your area that could do a custom job for you at a reasonable price. Just a thought.
Edit: I just thought of something. Redline Accessories makes custom leather products including steering wheel covers. You might want to check them out. http://www.redlinegoods.com
I bought a shift boot and seat belt covers from them several years ago for a 99 Miata I used to own. Their products are really good.