Sewn wool flannel mittens were considered an expedient at first, but found to be more durable by the British military. The knit one is 12" long (!!!??) Ten inches will probably work. Square off the cuff unless you're feeling fancy. Make a fitting pattern first.
Fifth Foot Captain Bennett Cuthbertson recommends in A System for the Compleat Interior Management and Economy of Battalion of Infantry, marking linens with a mixture of vermillion and nut oil. Since cinnabar (HgS) is toxic, this seems like a good substitute.
Fold it into some walnut oil with a palette knife until the paste stands up by itself. Thin with turpentine or mineral spirits. Use a nice period typeface. Initials, company, and regimental markings are good for starters. Oil paint can take weeks to dry depending on the environment. Adding drying agents and heat can speed the process. More information on markings can be found here, buy all of these immediately.