Course it doesn't help if your gloves have thickly insulated palms as the heat won't get through, unless they get wet in which case they conduct very well.
I've taken to wearing Gortex skiing gloves over the last few years as they stay dry and also have thicker insulation on the fingers than most biking gloves, but not the palms. In addition the insulation doesn't get compacted so easily when you grip the bar. Yes, it's a risk if I fall off, but that's my choice.
Winglets seem to help too by defelecting the blast away from the handgaurds, even though it's hard to see how.