It is assumed that libgmp.a can be found in the lib subdirectory of ALDORROOT.
In case libgmp.a (in a version ≥ 3.0) is already installed in another directory, say /usr/local/lib/libgmp.a, you can simply link it to the right place by
ln -s /usr/local/lib/libgmp.a $ALDORROOT/lib/libgmp.a
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After installation of GMP, you should edit the variable VARIANTSTOBUILD in Makefile.def.nw. Replace ordinary by gmp so that appropriate compiler flags are used.