That is how you close the hand of the mitten (I left an extra long cast-on to use on the side seam). I think the idea behind using crochet on the thumb is to end up with the extra loop to add back to your knitting. Actually, I was thinking that it would make a better seam to crochet the hand of the mitten together -- less room for "holes."
I was thinking of trying a mitten pattern from "The Knitters Handy Book of Patterns" using 2 circulars, but I wasn't sure if the directions (which are for DPNS) would follow if I used 2 circulars.
I just got my set of Denise's, and I want to make a lot of use of them, so I hate to start buying DPNS now! (I love the Denise's, BTW!!)