Magic Loop is nice because you don't have to worry about four needles and you can try on your work as you go.
To make my mittens I used Manos Del Uruguay worsted weight yarn and a very long size 6 needle. I cast on 40 stitches and knit in 2 by 2 rib for 3 inches. Then I set up for the thumb using the instructions for the Magic Loop Mitts on Ravelry. Its very easy to set up you K2 place a marker K1 place another marker and then continue to knit around, 37 more stitches. On the next round knit plain. For the thumb increase round: knit to the marker, slip marker M1R (increase one stitch to the right) K1m M1L (increase one stitch to the left) slip marker and continue knitting around. Repeat this increase round every third row until you have 13 stitches between the markers. Knit around two more times and on the next round, remove the markers and hold the thumb stitches on scrap yarn. On the next round KFB (knit front and back) in first stitch and then knit around. Continue knitting around until the mitten measures about 8 inches or comes to the top of your ring finger. Then decrease the hand as follows: K8, k2tog, rep, Knit the next round, K7 K2tog, Knit next round (32 stitches remain), Knit the next round. Now decrease every row K6, K2tog, rep all the way round then K5, K2tog, repeat all the way around, K4, K2tog repeat all the way around, K3, K2tog, all the way around, K2, K2tog, all the way around, K1 K2tog all the way around, K1 K2tog all the way around, K2tog all the way around. You should have four stitches remaining. Cut the yarn and thread on a needle and pull through the remaining four stitches and then weave into the inside of the mitten. To finish the thumb pick up the thumb stitches, plus two stitches from the gap so that your thumb has no holes (you should have about 15 stitches), divide the stitches according to the magic loop method, rejoin the yarn, and knit around until it reaches the middle of your thumb nail. Then decrease by K1, K2tog all the way around, and then K2 tog all the way around until you have 3 stitches remaining. Cut the yarn and thread it on a needle and pull through the remaining stitches and thread into the inside of the mitten. Repeat for the next mitten.
Don't do what I did and knit too loose on the second mitten, one of mine is a little big. Anyway, they still keep your hands warm while playing ball with dogs (and they coordinate well with a Red Cuz):