rogueish uses the same mittens that I have. They work well. Another choice if it's not too cold is liner gloves, which can be picked up at any good outdoor equipment shop. Liner gloves tend to be fitting gloves, which makes it a lot easier to manipulate shutter controls, and to operate your light meter.
I use both. That, and pockets I was up at the Athabasca Glacier (Jasper National Park in Alberta) on the weekend, and it was pretty darn cold - I think it was -7 to -10C, with a howling wind. Since I was only about a hundred feet from the car, I made due with my pockets. Thank god for heated seats in the car tho