I installed some 'In Bar Heated Grips' that are for snowmobiles. Got the idea from Canyon Chasers. They have a section on their website that has instructions on how to do various DIY projects. Here is the link for the heated grips and how to setup a relay/switch system to ensure you don't kill your battery.
Installing heated grips: http://canyonchasers.net/shop/generic/heated-grips.php
Installing Relay & Switch: http://canyonchasers.net/shop/generic/relay.php
Total cost of this setup ran me about $25 for the grips & $25 for the relay, switch, & wires.
Here is another link about various heated grip options: