Rangers are yet to appoint Pedro Caixinha's successor despite sacking him a month ago.
Rangers are yet to replace the dismissal of Pedro Caixinha, who was given his marching orders almost a month ago after being sacked on October 26 by the Gers hierarchy.
The Scottish giants have been linked with a whole host of managerial names, including Aberdeen boss Derek McInnes, former Australia manager Ante Postecoglu and even interim manager Graeme Murty.
But former Celtic and Arsenal ace Nicholas claimed that his choice would be the return of 58-year-old McLeish at Ibrox, and hand the former Birmingham City manager a contract until the end of the season.
Nicholas, 55, also stated that he would like to see current caretaker manager Murty work alongside McLeish at Rangers, which could see the Under-20's boss be nurtured by the more experienced McLeish into becoming manager.
"Now is the time for Dave King to show some leadership," Nicholas said. "As the search drags on, surely he should have stepped forward and taken control.
"When Caixinha departed I said they should hire Alex McLeish until the end of the season and let Graeme Murty work alongside him. But trying to work out what the Rangers board are doing in the meantime would give you a headache."
Murty, 43, is set to take charge of the fourth game of his second spell as temporary manager on Friday night, as Rangers travel to Dens Park to take on Neil McCann's Dundee.
The former Reading defender watched his side lose 2-0 to Hamilton last time out at Ibrox, and will be hoping for a repeat result against Dundee that saw Rangers win 4-1 against The Dee back in September thanks to goals from Carlos Pena, Josh Windass and an Alfredo Morelos brace.