i have strechy wool gloves that are very thin and I just wear them under work or shooting gloves.
Nice and warm.
Other than that you may want to bring one of the chemical hand warmers, the ones you shake. Stick it in an old terry cloth towl you have folded on the bench and stick your hands in them for bench shooting.
For skeet, trap, sporting clays.- Wear two pair of gloves- thin shooting gloves under heavier hunting style and simply remove heavy glove when it is your turn to shoot in sporting clays and for trap and skeet, put it on when the round is done.