I think that much of this question would be dependent on what you were able to take from the work. I think that you have to go back to the text and identify what elements were the most prominent in your mind. For example, what statements or observations can you make about the relationship between Judy and Dexter? What does this show? What might this reflect about society? At the same time, what do you take away about Dexter? At the end, when Dexter talks about "That thing will come back no more," to what do you think he is referring? These are merely starting points. In the end, a thesis statement is best conceived, analyzed, and addressed when the writer finds something to which there is connection and resonance.
A critical thesis statement for "Winter Dreams" might be "Dexter's dreams die quickly when exposed to reality." When he is growing up, he develops dreams of "ecstatic triumph" during the winter months when he is not caddying on the golf course, and he tries to put these dreams of triumph into effect as a young adult.
He foregoes attending the business course at the local college in favor of the "precarious advantage" of attending a prestigious college in the east. Later, after establishing a successful laundry, he becomes engaged to a "sweet and honorable girl" named Irene, who he tosses over in favor of the alluring and glamorous Judy Jones. In the end, his dream of possessing Judy Jones evaporates, and, years later, he finds out that she is married to someone who treats her cruelly. Dexter's dreams have been destroyed. As Fitzgerald writes, "The dream was gone. Something had been taken from him...Why, these things were no longer in the world! They had existed and they existed no longer." In the face of reality, Dexter can no longer have faith in the dream that wealth and beauty will make him happy. He finds that he can't even grieve and that his "winter dreams" are a thing of the distant past.