You could try thinner gloves, and then a big pair of mittens or something like this http://store.kifaru.net/modular-handwarmer-p23.aspx
for when you aren't working the camera.
So - wear thin gloves, when walking, setting up tripods, standing around etc use big thick mittens or hand warmer pouch, then take the mittens off to actually shoot with, then stick your hands back in the mittens/hand warmer when your done (with the hand warmer you could even hold a cable release in there)
Im typically shooting football in the cold, so I have a thick glove on my left hand (as it sits on the 400 hood) and a thin glove on my right hand, as it's doing all the fine work, pressing buttons etc.
When there's a lull in the action, the right hand goes into my jacket pocket to warm up a bit.
Of course it doesn't get really cold here