The higher dimensional analog is somewhat different. The idea of the result you quoted is that the transform of $Dg$ is a multiple of $\xi \hat g(\xi)$, and once we know that $\int_{\mathbb R} (1+|\xi|^2) |\hat g(\xi)|^2 <\infty$, it follows from Cauchy-Schwarz that
$$\left(\int_{\mathbb R} |\hat g(\xi)| \right)^2 \le
\int_{\mathbb R} (1+|\xi|^2)^{-1} \int_{\mathbb R} (1+|\xi|^2) |\hat g(\xi)|^2 <\infty$$
Trying to do the same in dimensions $n\ge 2$, we encounter a problem:
$$\int_{\mathbb R^n} (1+|\xi|^2)^{-1} =\infty$$
Solution: take more derivatives. If the weak derivatives of order $k$ are square integrable, then following the above we get
$$\left(\int_{\mathbb R^n} |\hat g(\xi)| \right)^2 \le
\int_{\mathbb R^n} (1+|\xi|^{2k})^{-1} \int_{\mathbb R} (1+|\xi|^{2k}) |\hat g(\xi)|^2 <\infty$$
provided that $2k>n$. Thus, the $n$-dimensional analog involves derivatives of order $\lceil (n+1)/2 \rceil$. And yes, you should check each of the weak partial derivatives.