If you really wanted to do this "right", you would use a magnetic or optical 3D tracker system and RK (reverse kinematics) the endpoint of motion (the hand) to the arm.
I understand this this is likely waaay out of your budget and/or experience.
Building the glove is actually the easy part (ok, putting the robot together and hooking it to the Arduino is arguably easier); you can utilize resistive bend sensors (which you could purchase or make), or you can utilize a form of optical bend sensing using either optical fibers or aquarium tubing as the element being bent to change the level of light on a sensor.
A possibility for the 3D tracking aspect on the cheap (and the glove) would be to hack a PowerGlove to interface it to an Arduino, and use the Arduino to interpret/filter the values, then pass them on to a second Arduino to control the robot arm (hmm - could you implement an efficient but simple RK algorithm on an Arduino?).
For haptic feedback, there exist really tiny cellphone vibrator motors (less then 1 cm in diameter, I think) that you could put on the fingertips. If you wanted true haptics, you could put aquarium tubing along the back of the knuckles (or front of the fingers, whichever) that you could apply pressure to using a compressor, and valves controlled by another Arduino (how many are we up to here, 3?), to apply varying levels of pressure to correspond to resistance...
What would actually be more useful, more intuitive (from a user standpoint), and easier to learn and control the robot with, though, would be a jointed arm "pointer" interface. The pointer arm would have identical joints to the robot arm, with potentiometers at the joints to determine the angle of the joints. You would translate these into joint angles for the robot. On the last arm of the pointer (which could look something like a pencil/stylus), you could have one or two switches to control the open/close function of the arm, as well as the light (turning it on or off). A vibration motor in the base could serve as some haptic feedback.
Something to consider about that robot - I have yet to see anybody being successful with interfacing a feedback mechanism for the motors on it - they aren't servos, they are regular gear motors, and there isn't much/any room in the gearbox for sensors, encoders, or potentiometers. I think if you can solve that, you might make a ton of people happy, myself included (I purchased one of these arms, but I have yet to remove it from the package - though I intend to use it in an Arduino related project in the future).
Good luck.
