Take some big safety pins and put it through the cuffs of each pair. Then you can toss them in the box and pull out a matching pair each time. This worked for my mother when we were all young and worked for my kids as well.

How about clothes-pinning them together after they dry off? Of course, for us, the clothes pins always seem to disappear!

I have a door length shoe bag holder hanging on the back door near the coats and snowpants; one pair of gloves/mittens in each pocket.

My son lost his lunch box today with all the winter gear he brought though!

Safety pins to keep the gloves and mittens together are the way to go. Also, don't forget to write children's names on anything going to school.
I work at an elementary school, and it's AMAZING what sits in the lost and found and is never claimed (LL Bean jackets, snowpants - it's sad).

My wife developed a String Rack for hanging gloves, hats, mittens, coats, snow pants, etc. There is a photo at:

http://sugarmtnfarm.com/blog/2006/01/how-to-make-hanging-string-rack.html

We have one of these in the center room of our old farm house near the wood furnace grate and another by the south door. In our new tiny cottage we'll do this again - it works very well.

I like the safety pins and clothes pins ideas - I'll have to see which I have more of around the house.

But Walter, I liked that string rack you made and I'll be talking to my handy-man husband to see what he can do for us.

Thanks everyone for all the ideas!