I too use the Nitrile gloves from Harbor Freight. I don't recall which mil I use but if I recall they have 3 types. Basically a thin, medium, and a thick. I think I use the middle one. I've tried using the bags from the pen kit parts but I just didn't like it as much.
However, I will say that even with the nitrile gloves, if you get a big enough goop (scientific measurement of course) on the glove, it WILL burn through. But that's normally when I try to be cheap and keep using different sides of the folded up piece rather than getting a new one. Also, the nitrile does NOTHING for the heat generated from the CA. Not that I expected it to either. Just pointing that out as well.
May have to try the ones Michael linked above next time. Just to give them a try.