If you are going in January, the water will be at its coldest (21-25 C). I was chilly in a 5 mm wetsuit, with a hooded vest. It is common to see people diving in dry suits especially if they are doing 3-4 dives per day on a live-aboard.
I lived in the Middle East for 17 years and you do not need a hijab or any other head covering (unless you intend to visit a mosque). Modest clothing is welcomed most locals but they have seen lots of skin since Sharm is a popular tourist destination! A wrap or light skirt to the knee or below, and a light blouse with over the shoulder sleeves will get you through most situations. While on the boat or in a resort, you can remove layers.
However, in January, the weather will be chilly so bring top-side layers to stay warm after your dives. I packed a Northface Primaloft lightweight jacket and used it on my surface intervals.
Let me know if you have any questions.
Best
GJS