The easiest way to make them is to cut a little glovette from the sleeve of the shirt that you made the cape from - but often the sleeves are too big in circumference for little hands. So, to size it down, you can tie a seam!
Fold the fabric in half and cut a rectangle. Cut a thumb slit on the folded edge, and fringe the opposite edge. Then tie the fringe together, and you have gauntlets! I left the fringe on mine long, but Max likes his short and edgy.