You need to exhaust her dialogue to get her to go back to Majula. Once she arrives, you'll find her near the monument that records total player deaths. To use the pyromancy flame glove, you need to equip it, and attune spells at a bonfire. After that just press rb, or lb to cast the spell equiped. Pressing up on the d-pad changes the spell when you have multiple equiped. Raise attunement to increase the amount of spell slots. Southern Ritual Band increases the number, if you don't want to put points in ATN.