With an OTTB re-training as an eventer, you want to make sure they are super sound in mind and body, so you're right to be concerned about starting too early. If he is not putting on weight, it might be that he still has not adjusted to his new environment...racing TBs have had a lot of stress on them since way too early in their lives, and often in environments where they are no more than a number in a stall, so they often need a lot of time off to just relax before they can start re-training, otherwise they just get too stressed and don't do as well, sometimes staying unnaturally nervous all of their working lives.
So wait until he is in top physical condition and seems to be all settled and ready to work before you start re-training him. That doesn't mean you can't work him, just be really easy and do a ton of short groundwork sessions, teaching him that his feelings are important to you and start trying to erase the "track habits" they often have (whip shyness, pacing, weaving, refusing to stand tied, etc.).
Natural horsemanship is a great way to go with any horse, especially a stressed one...I am a huge fan of Monty Roberts' methods, they really WORK and teach your horse to fully trust you in one half-hour session, just by talking to the horse with body language...his website is www.montyroberts.com
and the book that explains it is The Man Who Listens To Horses.
Pasture time is also a great way to help him re-cooperate, if you have a small acreage you can put him on for as long as your land allows. If you don't have any pasture, though, rely mosly on hay to help him get his weight back...it is much better for his digestive system to have more hay and less grain instead of just adding on more grain. You can try adding some alfalfa hay if it doesn't make him hot...it is very rich in calcium and works wonders for underweight horses.
If you do have to feed grain, though, I would go for a feed with a high percentage of oats in it, even just pure oats...they are the most natural feed for a horse, and the hulls make the horse actually have to chew it instead of just gulping it down, which could cause choke. The corn oil is a good idea, though...that will help his digestion, his coat and his weight. :)
So I'm sorry as that turned out to be really long...I just am not a big fan of the racing buisness and love to see people giving these young horses another chance at another life, often a much better one. I hope that helped somewhat, and keep us updated on how your guy is doing! :)