It sounds like he's probably a little bit of a hard keeper and needs something to supplement his hay.
Somethings you might consider are-
Feeding a better quality, richer hay. I'm not sure what kind of hay you're feeding now, but feeding a few flakes of alfalfa each day with free access to a lower quality hay throughout the day is a a good start.
Beet pulp is great for adding extra calories. You can buy it in several different forms, but I've only used the pellets, which get soaked before feeding.
Pelleted food, like Nutrena Safe Choice or Triple Crown Complete. You should be able to get some good guidance on these from your local feed store.
Weight gain supplements- your horse may or may not actually need a weight gain supplement, depending on how he responds to any changes you make in his diet.
I wouldn't recommend giving sweet feed, though. There's very little nutritional value in it; it would be like giving lollipops to malnourished children.