I keep a pair of black fleece gloves in my camera bag about four months of the year. They're inexpensive, warm and thin enough not to restrict the use of any camera controls.
If you're shooting in cold weather and you're going to take a break for lunch, leave your camera in the cold if possible. Going from cold to warm will cause your lens, viewfinder and even sensor to mist up and will prevent you from using your gear. Locking it in the back of your car is best, but make sure you keep a watchful eye on it.
It's getting really cold in this part of the world, so I thought I'd share a few tips on shooting in winter.
Batteries drain fast in cold weather, so keep them in a pocket as close to your body as possible until it's time to shoot. Rotate batteries between your camera and pocket frequently to get the most out of them.