In the final fight with Thanos, Tony Stark has a struggle with Thanos to get the gauntlet off him. Later it is shown that the stones are now with Tony on his suit.
The question is, how did he get it off the gauntlet and onto his suit?
Nanotech most likely, possibly with a filament shape
Since Infinity War, Tony has been going around with nano armor able to shapeshift into various stuff; for instance, a shield when it was introduced:
And at the start of the big fight with Thanos in Endgame
Into an electric transformer of sorts, to channel Thor's lightning into a blast in Thanos' face.
Contrary to the previous armors which could, for instance, deploy from a suitcase, nano doesn't seem to have a "mechanical" comportment and can shape itself into whatever is needed; why not some filaments retrieving the Stones? Although I don't have a visual, I seem to remember the nano "reforming" itself under the Stones on Tony's arm, supporting this theory.
Consider that Thanos wears the gauntlet and has gone through quite the battle, so he is unlikely to feel them being taken away.