Use either sport or knitting worsted yarn and a needle that is compatible for the yarn, no. 3 for sport or 5 or 6 for KW. Those would make a tight knit and warm mittens.
Cast on32 sts, K1 P1 ribbing for 1 1/2 inches, change to all knit until the mitten is the length you want or about 3 1/2 or 4 inches long, decrease K1 K2 together around, one row even and K2 together and take the stitches off on a length of yarn, pull tight and sew the ends away.
Crochet a cord, or make one with the I-cord method or twist one for the idiot cord.
To do the twist, decide how long you want it, make two pieces 3 times that length. Tie one end to a door knob or have someone hold it for you. You tie the other end to a pencil and wind it propeller style till it kinks, keeping it taut, put both ends of the cord together and the rest will twist together, smooth out, tie the loose ends together and attach one end to one mitten and the looped end to the other.
Baby mittens are made with finer yarn and no. 1 or 2 needles, try the 32 sts and either add or subtract stitches if 32 don't suit you.