We had the same problems with Foxy - she's a TB and we struggles with her weight from the off - she'd seemingly drop it overnight!
We had a combination of things we were feeding her and then a friend suggested sugarbeet (possibly the same as speedy beat mentioned previously) - that has been our saviour! Also, I give her a bit of corn oil with each feed - not sure if that makes any difference, but it can't do her joints any harm!
Our vet has also suggested giving her Stud Mix in the last month to help with her milk production so that goes in too! It's the first time since we got her that she's held her weight - and we're so pleased as we were worried coming into the last month (now overdue) of being in foal that it'd take it's toll and she'd drop her weight again. We introduced everything gradually, over about a week and she had no adverse affects at all - she just hoovers up anything and everything in front of her!
She also has unlimited haylage - she's currently getting through about 4 large hay nets a day - and when the weathers good (which it hasn't been this last week), she grazes outside. Xx
But my award goes to sugarbeet (and in the UK it's about £7-£8 for a 25 kilo bag which is lasting us about 3 weeks as it swells (a lot) when soaked, so cheap too.