I don't wear gloves at all while grinding because I find I have a better feel for what I'm doing that way. Also, it helps prevent me from getting the steel too hot, especially post HT.
I've worn gloves in the past, and once I was able to make myself switch to no gloves, I haven't had any problems, and I feel that I'm more in touch (pun) with the steel. I remember that when I wore gloves, they were always getting touched into the belt and wearing. A platen spaced closely to the belt while grinding could really ruin your day if you're wearing gloves. After I stopped wearing gloves, I've never had a problem getting my fingers into the belt beyond a very slight graze.
It's a risky business wearing gloves when working with something like a drill press, lathe, or saw, becuase anything slack or fabric can get easily caught up into the machinery and either twist your arm like a pretzel or pull you further into a rapidly moving blade or machine. Ever seen a demonstration of a crash test dummy wearing blue jeans getting pushed into a power take-off shaft from a well motor or tractor? Trust me, no one would live through that if they got well and truly caught up in it. A drill press or lathe has the same risks except you may just loose your hand instead of your life.
--nathan