The Thermal Gloves were a new gadget that appeared during the Cold, Cold Heart Incident. They were built into the XE Suit and were used by Batman to free people that were frozen in ice blocks, break through ice formations, and take down enemies.
Cold Cold Heart Incident
During New Year's Eve, Batman discovered that Mr. Freeze and Penguin's Henchmen possessed cryo-genic weaponry. To counter-act those new weapons, and the chilling environment within GothCorp, Batman acquired the XE Suit and used the Thermal Gloves. Batman used the Thermal Gloves to release the frozen victims.