Gloves work, but there are times when it's warm enough for open-fingered gloves, but the metal levers become uncomfortably cold for a short period (e.g. a descent, a ride through a microclimate, etc). It'd be nice if the levers are somewhat insulated and you're not touching bare metal.
After a brief research, I found that wrappers are very common with motorcycle levers. They have everything from braided leather to silicone tubes. These probably won't work with STI levers, but maybe something as simple as a small strip of adhesive-backed felt sheets from arts and crafts supply store will do.