Gloves under mittens are the way to go. I wear a pair of light fleece gloves under a pair of thinsulate half gloves with a "flip mitten." You can put the flip mitten over your fingers or if you need dexterity, you can flip it back and use your gloved fingers.

I picked these up at Walmart thinking they would work last year and man do they ever. It is nice to have the flexibility of having warmth of mittens and dexterity of gloves.