Extra hay is the best way to keep a horse warm and up to weight during the winter, and it's usually cheaper than feeding a supplement if you do the math. Which supplement is it? Adding one extra flake (5 lb or heavier flakes) per feeding, or just one in the evning, will often be enough to keep weight on a horse during the winter.
If he's in his own paddock/pasture, or his paddock/pasture mate's owner is willing to go in with you, a round bale of grass hay is a great way to provide free choice hay and they are usually more affordable than square bales. If you can find a 700-800 lb round bale for $50 or less delivered, then it will be cheaper per-pound than a $5 60 lb grass hay bale. Just roll it under his shelter and it will stay nice! A big 4x5 round bale will usually last one horse about 4 weeks to a month if they have access to it 24/7.