As the blood vessels come close to the skin surface in your wrists and hands, it is an area where the body loses heat quickly. By protecting your hands you can retain warmth longer and keep the feeling in your fingers.
Consider 3mm gloves for warm and cool water, 5mm for cool and cold water and 7mm for very cold water. The thicker the dive glove the more dexterity you are likely to lose.
Dive gloves are also useful when there is a risk from cuts, grazes and stings. Please remember though that if you are wearing gloves that you still shouldn't touch corals and marine life!