In my former life as a sculpture professor, I witnessed too many students injuried by breaking the "No gloves around machines not being held in your hands" rule in addition to all the other "comfort" or "expedience" excuses of not rolling up sleeves, removing rings, watches, loose sweaters or vests, neckties (right!) or necklaces, etc.
So long as you are comfortable turning with gloves in a cold shop holding a hot gouge and nothing untoward happens, O.K. But - when it goes wrong on a stationary machine - lathe, tablesaw, bandsaw, drillpress, whatever....it goes wrong in spite of our comfort and is over before you know it has happened. All you can do then is deal with getting your hand fixed, and hope your time away from the work is not too long.
We have an uncanny sense of where our hands are in space with reference to our big toys. Yet, even at that, we receive a reminder on occasion with a nick or bruise. Following an expletive and maybe a bandaid, we go right back to work. We have no sense of where the surface of that glove is, however. Anything attached to us which gets caught in a spinning chuck will pull our hand right in with it - ala finishing RAGS as opposed to the paper towels mentioned in previous responses.
It seems to me that it might be more prudent to figure out how to warm up the shop, change the grip on the gouge with dry wood, or use tape than put our non-exchangable parts at risk.
Be safe, turn long.