You would get the warm air from an external source? Your mouth? I know what you mean, because I often make a fist inside my glove and then blow into the wrist to get the fingers warmed up again.

I wonder if a version of a heat-pipe could absorb heat at your palm or even higher-up on your arm and artificially transfer it to your fingertips. For those reading that aren't familiar, heatpipes are a tube with a thermal fluid in them for conducting heat--they're often used in high-temp electronics.

http://en.wikipedia.org/wiki/Heat_pipe

Unfortunately, this might make a glove that didn't move enough to be useful, though.

I guess a heatpipe would work. Sand, you need to get some of these.

http://atmizzou.missouri.edu/jan04/glove.htm

When my hands get cold I take my gloves off and blow into them with my mouth a couple of times to warm them. This works fine but even a brief exposure to extreme cold makes my finger cold. A system of thin tubes molded into the glove lining with a wrist tube for my mouth would help.

I use neoprene gloves when I'm ice fishing. They are waterproof and keep my hands very warm. The trick is to buy neoprene gloves that are tight to your hand . Find a pair that your fingers extend all the way to the tips of the gloves and you will have warm fingers.

The trick here is that any air space between your hand and the glove allows evaporation to occur, resulting in cold spots (like fingertips). They do have to be readjusted from time to time to keep your fingers all the way to the tips.

At very low temperatures moisture (blowing in your glove) is not an asset.