The Thermal Gloves are a new gadget used during Cold, Cold Heart. 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. They replaced the Shock Gloves later in the game.
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.