You may not need to include this section (check with your supervisor), but a literature review can provide a valuable foundation on which to base your thesis and the rest of your TFG or TFM. The aim is to outline the academic context in which you have proposed your research question and explain how it contributes to the work that has already been done. It should not simply be a list of references, but a synthesis of what you have gained from these sources in order to propose the gaps that still need to be filled.  

Start by telling your reader why you selected the sources you reference, which should only be those that have directly influenced your research question. You should have a diverse range, including primary sources (such as research reports, data, photographs) and secondary sources (such as academic reviews).