I would do what justplaincharlotte said. I think it's probably the easiest way to make a thumb hole. I actually just made a pair of mitts that way using this pattern
. It was super easy. Just stop knitting in the round when you get to where you want the thumb to be-- when you get to the end of the last round, instead of continuing past the last stitch, turn your mitt over, and go back the same way you came, and do a row of purls. Then flip the mitt back to the right side and do a row of knits. Keep going back and forth just as if you were doing rows. Then after 10 rows or so, join the round again, and keep knitting in the round. Easy peasy. Hope that made sense!