I've found two solutions:
First, the documents show a way how to configure a rollingFileAppender without instantiating one: http://grails.org/doc/2.3.7/guide/conf.html .
Second, I managed to fix my original problem with a
@Grab('log4j:log4j:')
in front of my script - not a good solution if you are behind a firewall...
As Jeff already stated, it should also be possible to put the right jar file in the classpath, but I have to say that I often struggle with the cp :-( and when I tried to put the log4j.jar in the .groovy folder, I didn't succeed - but I guess this was because of an inproper groovy installation.