Find an old 100% wool sweater and wash it in very hot water with a little soap. It will shrink, shrink, shrink and that is good...it's called "Felting" the wool. Dry it in a hot dryer and once it's done, you are ready to begin!
After you are done sewing the sides, top and thumb, turn both mittens right side out and add some embellishments (if you desire...).
Enjoy your extremely warm mittens!
PS - I knew a woman who was wearing her hand made mittens snow shoveling, and because her hands perspired a lot while doing this activity, the wool shrunk even more and she actually had to cut the mittens off of her hands because they had gotten too small to remove!