You actually have to upload a gif to imgur or photobucket, then use the URL code for the image in tags to appear in your sig.
Keep in mind that if you don't have a photobucket account or imgur account, your gif will disappear after one year, so I recommend signing up for one of them, or upload them to a personal blogging site and have them displayed here.
My sig was uploaded to my Wordpress sites, as I used the URLs in the IMG tags.
Photobucket does keep them for ages too provided you're not exceeding their bandwidth.
If you want to preserve the quality, I've found that Photobucket preserves the quality better than Imgur. But Imgur as a site works better than Photobucket, so it's just whatever works for you.
Also if your gif is already available on the internet, you can just use the codes like so: