Can you show a picture? I'm not really a leatherworker...
The only sling in my collection with a leather covered finger loop is from Pikaru (haven't seen him a long time...).
It's done with the baseball stitch.
Never done it myself, but I would do it the following way.
- Cut a thin strip if leather as long as you need it and as wide that it just wraps around the (hopefully
) braided cord.
- follow the instructions here
http://www.wrtcleather.com/1-ckd/tutorials/_baseball.html to sew a tube around the loop.
Alternatively google for "leather sewing stitches" for more inspiration or contact the person whose sling you saw directly.