first i would decide how many stitches wide i wanted the thumb gusset to be.in the past when i have made mittens it was 7st across so that is the number i will use, but it could be different for you depending on your thumbs and your yarn.
Knit up to were you want the thumb to start then using a piece of scap yarn that contrasts well knit 7 stitches, do not secure the tail ends of the scrap yarn. slip these 7 stitches back onto your left needle and knit them again using your main working yarn.
Keep knitting the mitten hand until it is the length you want and then bind off, completely ignoring that piece of scarp yarn for now.
When you have finished the hand piece, carefully pull out the bit of scrap yarn, inserting a dpn in the the live stitches as they apear (one on the top of the gap and one on the bottom). using a third DPN pick up and knit 2 stitches in the gap between the two needles on the left hand side then knit half the stitches off the bottom needle. Using a 4th DPN knit the remaining stitches off the bottom needle and pick up and knit 2 stitches from the gap between bottom and top needles on the right hand side. You should now have two dPNs with worked stitches on, a DPN with the the top unworked stitches on and an empty DPN. USe the Empty DPN to work the stitches fromt he top needle. You should now have all the stitches on 3 DPNs ready to be worked in the round. Knit until it is the length you want and bind off.