Do you knit or sew? Have you heard of sweetheart mittens? They are basically 2 mittens sewn together at the hand (it makes a heart shape). They can hold hands inside the mitten. Then they could have thin mittens on underneath.
This was the best picture I could find. Not advertising for this pattern.
http://www.cocoknits.com/knit/garmen...s/smitten.html