How do I display the leading zeros in a field for a month and limit the value to 01-12

Just use the built in Date format, available in field Properties : Format.

This might not be the best approach since one could still enter an invalid date since the number of days in a month is dependent upon the month and year field values. For example the is no June 31 in any year and February 29 on occurs in non-century years evenly divisible by 4 and century years divisible by 400. One can use the "Format" tab, the "Special" format category, using the "Custom" mask to limit the input and displayed values for the date and month to values between 00 and 99 and the year between 0000 and 9999. If you want to limit the month between 01 and 12 and the days between 01 and 31 then you need use the RegExp object to control the "Custom Keystroke script" and you will still need to provide some additional validation to verify that the entered combination of the month, day, and year is a valid date using the util.scand() method.