Cord or embroidery floss
When is a braid not a braid? When you use this technique. Referred to as mystery, magic, or trick braiding, it involves manipulating a single piece of leather with two slits into a braided strip.
Mystery braiding isn't hard, but it can take a few tries to get it right. As you work, the leather twists and turns. Frankly, it looks as though you're doing something wrong, but it will smooth out at the end.