This is an easy question. Heated Grips are the best choice and offer far more versatility. They are relatively cheap, easy to install, and offer adjustment to changing conditions with the flick of a switch.
Even though heated grips should come first, a good assortment of different gloves has its advantages. Gloves that have some insulation on the top side of the hand can dramatically help with comfort.
Heated grips and an extra pair of gloves will still be cheaper than buying heated gloves.