Wiki says The origin of this word dates from the late 16th century, from the Scottish Gaelic gille, "lad, servant", cognate with the Irish giolla. Usually it's Jack and his master rather than Jack and his servant, the nursery rhyme may be sending up his presumption.
Ghillies are dancing shoes made of leather with cross-lacing, which may or may not be significant in relation to the various harlequins and Hermes-style guides parading through these threads.