It's easy and boils to down to one simple technique. When you're not wearing your hat or gloves, always keep them in designated pockets where you can quickly find them—and just as quickly notice if they're not there.
Here's my system. Whatever cold-weather gear I'm wearing—Gore-Tex or down jacket, say, or just a toasty fleece—I always keep my hat in the right-hand pocket and my gloves in the left-hand pocket of my outermost layer. As a fan of simple mnemonics to help me keep track of things, I think of it this way:
It's always RIGHT to wear a hat in the cold.
Gloves are the last thing LEFT to put on in the cold.
Don't sentence your hat to this lonely fate. Photo: Flickr Commons; Alastair Thompson
This system makes it easy for me to find my go-to hats and gloves, especially when I'm switching between different winter layers from day to day. It's especially useful (and time-saving) on winter camping adventures, when it's easy to lose track of these items amidst the many additional items of clothing (and multitude of pockets) such excursions engender.
A couple of caveats, however. First of all, your hat and gloves need to be compact enough to comfortably fit in your pockets. (My day-to-day winter glove is a lightweight pair of Black Diamond Midweight Gloves; my hat is a compact and compressible WindPro fleece beanie.) Secondly, you need to have adequate pockets in the first place; consider upgrading the importance of pocket capacity as you evaluate your winter layers.
Do you have other techniques for keeping track of your hat and gloves? Please share!