And remember that it's not just the type and amount of hay that is important, but also the quality. Different cuttings and changes in environmental factors (rain, temperatures, etc) affect the nutritional content of hay.
You need to first look at getting appropriate amounts and nutrient balance. If those two things are wrong, you can continue to have weight and health issues.
Once you know that you are feeding appropriate amounts and that the nutrient balance is right, then add fat---vegetable oil, any number of "weight supplements", etc can be used--and give it a bit of time.
Licensed Veterinary Technician