It's pretty much a matter of personal preference. What I have done before is use "salvaged" laces from gloves I've relaced, but before using them I've dyed them to match the existing laces. After they dry, I give them a good coat of petroleum jelly or leather conditioner and they look pretty good.
These aren't the best pictures in the word since I took them with my cell phone. But I recently replaced all of the laces in this Nokona BM81 mitt with laces salvaged from othe gloves. I relace a lot of gloves, so I have a huge supply of used laces. I think that these laces came out of a three or four year old Nokona catcher's mitt. I wanted to replace the original laces, which were trashed, with something that retained the original vintage look.