When my children were growing up I made their mittens with one strand of worsted weight and one strand of fingering/sock weight.
Last year for one of my grown daughters I made wool mittens and just inserted a pair of inexpensive ready-made knit gloves into the mittens. I didn't have to attach the glove to the mitten as it just stayed put.
For a little one I'd look for a pair of soft ready-made mittens and put that inside the mittens you made.
I've yet to try knitting mittens adding roving, but that's on my bucket list. I've heard these mittens are extra warm.