I do the "rice sock" thing, where you put dry, uncooked rice in a sock, tie the end, and microwave it. I usually use that, however for my eye's compress, when my bursitis gets real bad. But it can certainly help with hands, too.
You don't want your fingers to stay frozen for too long - it can hurt the vessels. Swinging them around, "power-walking" and pumping those arms like Jane Fonda is cheering you on will help to bring the blood back to your fingers.
Also, and this is KEY to my survival in NYC winter: I order handwarmers online in bulk and always carry a set and a ziplock baggie in my backpack. They last for up to 8 hours, but you can slip mid-used ones in air-tight ziplock baggies and they'll stay good for at least a few more days, until you use them again..... I don't buy fur, but I gave in and bought fur-lines shearling mittens for winter, and use those with glove liners and handwarmers in winter. And I ALWAYS carry the liners with me, even in summer - darned air conditioning!
Diagnosed: Sjogren's '94, Raynauds 2000, Vasculitis 2002, Lupus SLE 2004, Lupus Nephritis 2007 - progressive w/ "diffuse proliferative lesions", controlled, and what looks like Discoid coming and going.
LUPUS: Cellcept 2,500 mg, Chloroquine 250 mg, Methylprednisolone 16 mg. BP: Spironolactone HTZ 25/25, Metropolol 100, Cozar 100, Nexium, Salagen. Vitamins/Minerals: Multi, Calcium, D, Iron