"A blue bonnet."
It's not as easy as in languages like Spanish and Portuguese, nevertheless, there are many aids to help the learner. You can read about it here but I'll summarise it as follows:
Males (humans, animals, personal names)
Days, seasons, elements, metals, vegetables, grains, trees, timber, colours, liquors
The suffixes -a, -air, -ach, -adh, -as, -(e)an, -eir, -iche, -ire
Often, when the vowel in the final syllable of a word is broad (i.e. is either a, o or u)
Females (humans, animals, personal names)
Countries, heavenly bodies, musical instruments, diseases, reptiles, copses
The suffixes -achd, -ag, -e, -lann
Those are tendencies rather than absolutes, so you'll find a few exceptions e.g. cailin "maiden, young woman" is masculine. It seems form (suffixes and such) are more important in determining gender than biological sex, so boireannach "woman, female" and sgalag "(male) farm worker" are masculine and feminine respectively because of their endings -ach and -ag.
The above is based on the research of Damien Ó Muirí, who reckoned you can predict the gender of a Scottish Gaelic noun based on its form 91% of the time. Not bad!
I think Damien got carried away with the Irish. Cailín is the classic example in Irish of a word that is the 'wrong gender' but it is feminine in Gaelic (according to Dwelly, AFB and Mark) not that I have ever actually heard it in Gaelic.
I am not sure what you meant by copse.
Yes, gh is a new sound for English speakers, although if you've studied any Spanish it's often the same sound in words like agua or luego. You can hear the sound in more isolation here too - click on the sound file under "Audio sample" and he says something like "gha, agha".
To hear the sound in actual Gaelic words, this site is great. gh actual represents two different sounds in Gaelic - a "broad" one (i.e. used next to the vowels a, o, u) and a "slender" one (used next to the vowels e and i) - so the one you want in ghorm is the broad one (like in Spanish above). Here's the actual page that deals with gh and you'll want to click on the audio that accompanies the "broad" sounds. As you'll see, both gh and dh represent the same sound here so give them both a go. All the best!
Because bonaid is a feminine noun, you lenite (add an h to) gorm to become ghorm. Another feminine noun is seacaid "a jacket", so "a blue jacket" would be seacaid ghorm.
If you have a masculine noun however, there's no lenition (no extra h) so geansaidh gorm "a black jumper/sweater" and còta gorm "a black coat".
The above happens to other adjectives (descriptive words) too e.g. bonaid dhearg "a red bonnet" but còta dearg "a red coat".
If you mean 'does it work like Welsh?', (which I see you have studied further than Gaelic) the answer is no:
Tha a' bhonaid gorm (unlenited) = Mae'r het yn las (lenited form of glas 'blue')
I think Old Irish may have done that (I can't remember exactly when it did it) but Gaelic and Modern Irish don't.