They don't wear gloves, but rather hand wraps (taped so they don't get loose).
For weighted gloves, I recommend Ironwear 1# gloves. I've tried many styles, and these are by far the best: most comfortable, don't shift. I've seen them at Reebok factory outlets. You can also find them on the web by searching "ironwear grips" (Ironwear is a company that makes softweight equipment--using heavy rubber instead of sand or hard metal--for other companies).