Shulchan Aruch 301:37 says:
It's permissible to go out on Shabas with handgear called guantes [=gloves]. But some are strict to require that one sew them before Shabas to the handgear [=sleeves] of his clothes, or tie them to them well with a durable knot; and it is seemly to worry about that view.
Mishna B'rura (ad loc.) says:
Those who are strict, it's because sometimes he needs to feel with his hands to remove a bug that's stinging him, and we worry that he may forget and come to carry [the removed glove] four amos in a r'shus harabim.
And on the SA's "it is seemly to worry about that view", MB says:
Now they are accustomed to be lenient, maybe because, according to many pos'kim, we have no r'shus harabim d'oraysa, so there's no reason to make the decree "... lest he come to carry in a r'shus harabim". However, it seems from the acharonim that although one should not admonish those who are lenient, any baal nefesh should be strict.
Aruch Hashulchan (:105) says:
The reason for those who permit is that it's clothing like any other; the reason for those who forbid is that it's impossible to feel with one's hands while they're in gloves, and he may wish to feel something and so remove his gloves and carry them four amos. Therefore we need them sewn or tied, so they are part of the garment [they're sewn or tied to]; some say tying doesn't make them subsidiary to the garment, and when they are [tied on but] not worn they are considered to be carried.... It is seemly to be strict [with gloves that are neither sewn nor tied to a garment], and that is the custom; if the cold is severe, one can permit it, obviously.
(All translations are my own.) For practical guidance, as always, consult your rabbi.