Just like on the rest of your body, layers work well on the hands, providing warmth without bulk. I've found the bulkiness of ski gloves means that fabric gets caught between the levers on STI. The problem is even greater on the newer-style under-the-bartape shift cables. In fact, it's one of the three reasons I switched back from 5700 to 5600-series levers.

I wear summer-weight long-fingered MTB gloves (size L) inside "cold weather" cycling gloves in size XL. Most cold weather cycling gloves are not designed to get you below freezing, since we all know you can't ride a bike below freezing, right? I've used the water and wind-resistant Specialized, Cannondale, and Endura cold weather gloves. They're all about the same. Except I like the snot wiper a bit better on the Cannondales

The combo pack of two pair layered gets me down to the low to mid-teens. Below that, I switch to snowboarding mittens--they have grippy stuff that ski mittens do not.

The key to using STI levers with mittens is to shift everything with your index finger. With the way my levers are set up, I have to bend at the wrist to hit the upshift paddle, but it sure beats cold hands.