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They do need to be large enough so that your fingers don't press on the fabric constantly - i.e. your fingertips pressing on the ends of the dual-fingers, or the cold will transmit straight across.
Immediately after i snipped the tag off my new pair, it occurred to me that i might have achieved the same effect with the old pair by not pulling them on fully...
For anyone thinking of buying these Craft Split Finger gloves from wheelies.co.uk (one of the cheapest prices atm, as far as i know), bear in mind that the L-XL is actually labelled L on the gloves and the XL-XXL is actually labelled XL.
Bought a pair of those last year (on your indirect recommendation, iirc). They were game-stay-the-samers for me, but i am awaiting a delivery of the next two sizes up. They might work better.