I do the magic gloves thing underneath like Granny does. But if you really want thick ones, you might try double knitting, cables, or a simple Fair Isle. If you do Fair Isle or cables you do need to increase stitches after the cuff because they tend to pull in the work. Here's a knitting tutorial for how to make warm bulletproof mittens according to your measurements.
http://www.hjsstudio.com/mittens.html