Warm gloves are obtained as a reward from supply crates by contributing in the subduing of the Wintertodt.
Although they match the appearance of the Pyromancer outfit, they do not count towards the set bonus. They only provide warmth while subduing the Wintertodt, which reduces the damage taken.
You can exchange duplicates for an Extra supply crate by using them on Ignisia.
If the player has three pairs of warm gloves in their bank or inventory, supply crates will instead give a magic seed when it would have given gloves.1 It is therefore recommended to keep excess warm gloves unless bank space is an issue and you do not plan on doing more Wintertodt.