Phil is correct.
If you connect the switched power wire directly to the battery, it will allow the grip warmers to be turned on (or left on) even when the quad is off, and would undoubtedly lead to a dead battery at the most inopportune time if you were to forget to turn the heated grips off when you turn the quad off. Having the switched power lead connected to a switched power source allows the grip warmers to be shut off automatically when you turn the quad off ensuring that they will not drain the battery.
Also, as Phil stated, there are typically a couple of orange or orange/black switched power leads with spade or bullet connectors available near the front of the quad under the plastics somewhere. If you tell us the year and model of quad that you have, someone will be able to tell you the exact location where you can find them.
2016 Can-Am Outlander Max XT 650, Brushed Aluminum
2015 Sportsman Touring XP 1000 Bronze Mist, Uni-Filter, 2" lift, 28" Bearclaw HTR's, Cobra HD front axles, Glacier Pro Plow system
2008 Can-Am Outlander Max XT 400, Red
1987 Manitou 24' Pontoon w/ 25HP Merc, bimini top, & propane grill
2014 Aluma 8112 utility trailer (my 'lil toy hauler)
1990 Honda Fourtrax 300, blue, plow machine (Sold)
1986 Yamaha Moto 4 225 (sold)