No, Deion Sanders did not wear Baseball gloves while in football.
I was the head of Accessory product Development at the time and he wore specially made football gloves. Most of the gloves made for Deion were "Tactified" and often had special embossing and or debossing on the leather. Much like his baseball gloves, we often used some very colorful leather and other materials to make the gloves very flashy and special for him.
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Yes, he did. "Sanders is the only man to have played in a MLB and NFL game during the same day- when in 1992 his Falcons played Miami and that same day he played for the Braves against Pittsburgh in an NLCS game [1], and he is also the only man to play in both a Super Bowl and World Series." -http://www.scripophily.net/delusaplco.html
Yes ... for 4 seasons between 1987-1990. He played baseball with the Kansas City Royals and football for the Los Angeles Raiders.