There are no special norms on La Gomera with respect to dress. From a practical point of view the winter weather is characterised by its temperate nature. Warm clothing is usually not necessary. However, if you are intending to walk in the rain forest a waterproof jacket and hat is advisable. Due to the heat of the sun during the day you may feel it necessary to take a light jersey to wear in the evenings during the winter months.
On a related matter, perhaps because the nightlife is such a great part of Spanish culture, it is not necessary to dress formally for dinner, though this naturally depends on the venue and personal circumstances involved.