'Gu' as a particle turns an adjective into an adverb, so you are right about 'math -> gu math' = good -> well, and it also works for other adjectives/adverbs, eg 'slaodach -> gu slaodach' = slow -> slowly. (Thus also 'mòr' = big, 'gu mòr' = 'bigly' = a lot.) Note that if the adjective begins with a vowel, an additional h- is inserted in front of it (for easier pronunciation): 'àraidh' - special, 'gu h-àraidh' - especially.
'Gu' as a preposition means 'to' (in various senses, I wouldn't be troubled about that just now if I were you, prepositions are a pain in any new language one learns, as you've probably already discovered ;-).)
Debate will continue to rage. Some of the clips on the internet are clearly bigly. The majority sound more like *biglig /ˈbɪglɪg/ with no stress at all on the second syllable, as I would pronounce bigly /ˈbɪglɪ/, not close to how anyone I know would pronounce bigleauge which would normally be /ˈbɪgˌliːɪg/ or even /ˈbɪgˈliːɪg/.
My best bet is that either he said bigly and then changed the pronounciation a bit and claimed that he was saying big leauge when people started mocking him, or that he has actually mixed the two.