Like markaboot I normally ride with two fingers on the brake. These fingers will freeze even with heated grips.
If it's really cold I'll wrap my hands around the grips, but even then your fingertips will freeze while your palms will be scorching.
The best thing I've found is muffs.
Tucano Urbano muffs are absolutely brilliant (model R361 on my FZS600 '02)
I'd probably be fine with just the muffs and winter gloves, but since I already had heated grips on then I use the muffs, grips on low, and summer gloves.
Toasty hands down to -4 degrees.
I've got these grips and they are fine
http://www.jsaccessories.co.uk/dr-bike-drmhgc001-drmhg-heated-grips.html