Why do the tips of your fingers get painfully sore after skiing?

Most likely the gloves you are wearing skiing are not warm enough to protect the ends of your fingers from cold wind burn. Another cause of finger tip pain in cold weather can be that your finger nails are cut too short. So to help prevent this, try to keep you finger nails a little bit longer (or don't trim them before venturing into the cold).

Either wear a much warmer pair of gloves that will keep your finger tips warm or you should invest in a good pair of warm mittens or mitten shells to go over your gloves.

Mittens will do a much better job at keeping your finger tips warm and will improve your circulation in your hands.  If you're someone who doesn't like wearing mittens all the time, then mitten shells are a great option, because they are light and you can keep them stuffed in your jacket until you need to put them over your gloves when your hands start getting cold.