I had the same thing happen to my last car. I ended up just installing a nice chamois leather wheel cover, it had to be stitched on but when I was done you wouldn't be able to tell the difference from stock other than it being a little fatter.
Word of advice, learn different types of stitch knots, most steering wheels us V or diamond stitches they arent difficult but the final product will look terrible if you miss a stitch.
13 WRX Hatch - Torqued Performance Stage 1+
Slow is Smooth > Smooth is Fast