This revealed by the star of the movies himself, Robert Englund, at Monsterpalooza 2017..
iHorror has a good summary of the events that took place during Englund’s appearance.
The headline making part was when the glove came up..
“The original glove was given to me by Wes for pickup shots on Nightmare 2. In a little MTV stage on Santa Monica Blvd in Hollywood, and I went to work, and there was this huge rumor, from you guys [points to moderator Tony Timpone] about industrial espionage because they were the weather vein of popular culture, they knew that this franchise had become even more iconic than we realized. Guys pretended to be crew members on the pickup shot day, in this little studio on Santa Monica Blvd, and they wore tool belts and everything, they were there to get the glove. And we heard about this, Kevin Yager told me this. So, I stole the real glove; I just took it. I didn’t know it came from Wes, I know it now, but I stole it that day. There were like a couple of doubles, but I stole the original glove. I’m busy being Willie from V and going to film festivals, in Paris and getting awards for Science Fiction shows and so I stuffed it, and I outlined it in red and green neon, and I floated it in a plexiglass box, and I gave it to my agent. He won’t give it back!”
There is plenty more than that to watch.. you can see it all here and it’s worth the viewing: