Unfortunately it's hard to give you a straight answer with regards to HEMA, because different groups have different requirements, and different levels of intensity when fencing. Frequently if you need more protection, you'll be looking at adding pads or something over the gambeson (such as hockey or lacrosse elbows, for instance). Generally the gambeson doesn't need to be terribly thick, but again, it'll depend on the group. Frequently it comes down to your own comfort level.