In-universe, this is the sexual equivalent of the "You do NOT want to know" trope. The implication is that he's been doing something unspeakably kinky and weird to Marla (something which caused her to scream in ecstasy) and no further explanation is given. You're basically expected to leave it to your own dirty imagination to work it out.

Notably the incident doesn't appear in either the source book or the shooting script.

Out of universe, this interview with Director David Fincher strongly implies that they (he and Pitt) chose to put the glove into the scene specifically to weird-out the studio executives who'd stipulated that Pitt had to be shirtless twice in the film. Again, no specific sexual act was intimated: