You could use a light turnout rug for winter but I bet that critter will have a bunch of natural insulation to keep him happy (if he is of the heavier bone type). Just feed lots of good quality hay in the winter, enough so that his weight stays the same. Feed some good balanced pelleted feed in the evening or on days when he is really shivering/rainy since one cold night of shivering can essentially burn off all of the calories he ate for dinner. Other than that, just feed to maintain him and I bet he will be fine!
I have a big foxtrotter who is mountain bred and he has a hard time during the summer, but he is a SUPER easy keeper during the winter - hardly ever requires a blanket and stays fat on air, too!
You should post a picture of your guy - I don't know that I've ever seen a Gypsy cob before!