All-leather pillows are frequently not the best choice for a leather sofa, because leather-on-leather will slide. Just a small 'push' will send the pillow scooting across the seat cushions or they may slide down all by themselves. For that reason I recommend covering the back side of the pillow (the "B" side) in suede. That will allow the pillow to 'grip' the leather. Welt trim can be done in the primary leather or in the suede, either way. Here's an example of H&M GR 4 "Quintessence Bark" leather on the "A" Side, and the suede GR 3 "Sonoma Chocolate" on the "B" Side.
Duane Collie
Straight answers from thirty-six years in the business.
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