Wearing a cotton glove while writing a pysanka is a personal choice. I am not giving advice, but suggest that you try it out and see if it works for you.
I use one glove for holding the egg, while working on a large eggs, such as a goose egg. This insulates my hand from the already waxed areas. Without it the wax can smear if hands are warm and frequently touching the egg;this is especially so when I am using X Fine points, such fine lines can be easily smudged.
I buy single pairs of gloves at a Dollar store. When finished with the egg, I pop the gloves into the laundry and re-use.