Gollum must have worn something, as I'm sure the Ring wouldn't have given him protection from the cold too. Plus he was living on a diet of fish and meat so this would mean no carbs to keep him warm - he'd have been like a particularly ugly supermodel wandering about dithering in the cold without any breeks. If he was killing Orcses to eat while he lived under the Misty Mountains then I can imagine he'd keep their clothes, wear some and use the rest to form a little cosy nest on his island.
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Gordon's alive!
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