Well, I've done a lot of googling and this is what I've come up with. This stitch ends up nice and thick, no holes. It's exactly what I wanted for our cold Wisconsin winters. Thought I would share it with you for those who want warm mittens without holes. This is a crochet Thermal stitch.
http://www.youtube.com/watch?v=Tu2GzJHCgwE&feature=plcp