As root, create a file called jwm.desktop in /usr/share/xsessions containing the text below:
[Desktop Entry]
Encoding=UTF-8
Name=JWM session
Comment=Use this session to run JWM as your desktop environment
Exec=jwm
Icon=
Type=Application
(Note that the file has to be in /usr/share/xsessions -- it won't work if you put it in /usr/local/share/xsessions even though you'd think it should.)
Logout, and you should now have an entry that reads "JWM session" in GDM's session selector that starts JWM.