Having had heated grips on a couple non-Harley's and heated gloves, I would say it depends. However, the way heated gloves are wired it's best to have both if cost is no object. However, if I had to choose between one or the other, heated gloves win "hands down" (so to speak).
Heated grips are great for mid-level cold weather and cool nights when you might find yourself without a spare pair of warm gloves for a suddenly colder than you expected ride. They're always there and ready to go.
However, heated grips require that you keep your hands tightly wrapped around the grip for heat transfer. Once your hand comes off the grip, your glove and hand begin to cool off and it will take a few moments for the heat to return once you put your hands back on the grip. Not a big deal in cool temps, but when it's cold... you end up having a death grip on your grips and even then if your hands are shielded from wind blast the back of your hands/fingers will still be cool, not warm and toasty in the very cold temps. And, if the grip stops working for any reason, you've got to fix the bike to correct the problem.
Gloves keep your hands warm no matter where they are; on the grips, resting on the tank, while flipping the bird... whatever. They heat from the back and side of the hands & fingers, not from the palm... When it's really cold having the backs of your fingers bathed in warmth is a very good thing. If there's a problem with the gloves, its usually very easy to troubleshoot and fix during a five minute visit to any store that sells heated gear as most of the heated gear products are compatible, even if a connector adapter is needed.
I've also become a big fan of the heated glove liners from First Gear and others that offer the very minimalist liner; Gerbing's is too heavy to make the cut. The liners are great because you can use them with just slightly oversized gloves you already own. By slightly oversized, I mean gloves that have been worn for a season or two and don't quite fit as snugly as they did when they were new. These are an ideal shell for the liners. What I like about this is, I can have the heated liners in my saddle bag with my heated liner and wear the shells until the temps demand the heated gear. I can also use a rain glove when I need it vs. just a nice cattleman's leather shell when it's dry or a nice Gortex glove when it's really cold for maximum warmth. Just lots of flexibility.
Having a liner with wire leads out to the sleeve ends is the only way to go as is a dual controller. You can start with the gloves only or the jacket only, but if you ride when it's cold and want to be comfortable -- to hell with manning up being cold -- a jacket & gloves are ideal. For long trips in at or below freezing temps, the heated pant liners with heated insoles are also a great option. I can go for an hour in below freezing to zero temps without the pant liners or insoles, but after that your legs become a heat sink for the rest of your body and the jacket and gloves will not keep you from shivering.
Just my .02... after year-round commuting in temps down to Zero and a few long road trips in the 20's and 30's with my wife who also gets the top to bottom heated gear treatment.