@BrianW I love the Red River Gorge, great choice! January can be a bit chilly but awesome for winter camping. Check out the Sheltowee-Osborne Loop. You may have to add on a little bit to this 19.8 mile loop to make it 3 days/ 2 nights (there are plenty of spurs off the loop for that) but the hiking is pretty nice; great trails and amazing views. The trail is labeled as Intermediate/Difficult through the Hiking Project link above, so I suggest reviewing information to be safe and prepared.
Also, as you are preparing, take advantage of REI's outfitting service if you need anything.
Lastly, if you have the time, make a stop by the iconic Miguel's Pizza. It's a Red Rive Gorge tradition and you won't be disappointed.
Have fun out there and we will see you on the trail!