Step 2: Sew
You don't need a whole lot of thread, just a foot or so.
#2: Sew a few stitches in the finger of your glove.
On the outside try to make the stitches pretty close so it only touches the screen in a smallish area (about 1/4" or 6mm in diameter.) This will help your finger touches be more accurate.
Tip: Don't make it too small! The iPhone, for example, will ignore small touch areas. If it doesn't seem to work very well, try increasing the size of the stitches on the outside.
On the inside of the finger, it's actually good for it to be messy (See #3).
3-5 stitches should be enough.
#3: Leave some extra inside the glove.
You want to make sure the thread touches your finger or your hand on the inside, so leave some extra. Leave danging thread on your knots, etc. You might even tack a bit to the lining of the glove
#4: Repeat on other fingers (optional)
If you use other fingers or thumbs to use your screen repeat the step on them too.