I think somewhere around '81 or '82 it changed from The Kid to The Great One. He was also referred to as The Great Gretzky.
I do remember in the '82 season that Mr. Big chocolate bars had a promotion where there would be a number on the inside of the bar wrapper, and if it matched Gretzky's point total at the end of the season then it could be mailed in for a prize. Anyways, the commercial for it mentioned "Mr. Big and Mr. Great". So "The Great" part of the nickname was already there by then.
The above poster who said 1982 is probably correct. You know, it is just one of those things with him, you just remember it being around forever. Sort of like the "Rocket" (would probably be even harder to find the origins of that nickname).