You don't want to close off the opening of the thumb sleeve, so you will weave the yarn around it on only one side. Do NOT stitch both layers together.
If it helps you understand exactly where the thread should be woven, slip the glove on your hand and stick your thumb through the sleeve. Simply weave the needle through the stitches as shown in the picture, until you reach the next edges of the glove that should be sewn together. Also see the drawing if the picture does not help.
Continue whip stitching the rest of the glove edges, keeping them aligned, until complete. Weave the yarn back through about 3 inches of whip stitches to hide the end, then cut the thread.