In my clime, lightweight gloves are good enough. I just received a pair of Cold Weather gloves from www.southwestmotorsports.com
and really like them for their warmth and dexterity. They aren't good for really cold weather, but they work well around here.
I've heard of some using insulated football or golfing gloves, but I haven't found any in the shops around here.
With anything, though, you have to practice religiously to get a feel for it.