Believe it or not, native speakers are often unsure of this; and there's no agreed "right" way to do it.
My personal preference is to write -s's, since it's generally pronounced with an extra syllable: "Jesus's" is pronounced with three syllables.
However, many people consider this incorrect, and say you should simply add the apostrophe: Jesus'.
Just how much disagreement there is over this is evident when you consider that in London there is a St Thomas' Hospital and a St James's Park. A quick Google search also reveals a large number of educational establishments which have apparently given up on the question and call themselves St Thomas University (Miami Gardens, Florida and Fredericton, New Brunswick) or University of St Thomas (St Paul, Minnesota and Houston, Texas) -- the former, of course, will give a lot of grammar sticklers indigestion.
One author, giving advice to budding writers, recommended avoiding giving characters any names that end in -s, simply to sidestep the issue altogether.
So use one or the other, but be consistent -- always -s' or always -s's.
Of course, with Jesus, there is one other option available: the old-fashioned variant "Jesu". However, I wouldn't recommend it.