This answer depends on the tools you have at your disposal, but if you have power tools for cutting, sanding, and shaping, MDF is cheap and easy. If you don't have the equipment, then clay is your best bet.
Step one: 1:1 scale drawing. Draw a set of full size plans for your gauntlets, both from top and side. You will have a better time trying to build something when you have the drawings right in front of you.