Increasing his hay would be best (grass hay or similar). Hay keeps horses warm from the inside out. You will have to feed him even more, since he will be trying to keep warm and put on weight. I would feed him 30-40 lbs of grass hay every day, though free choice would be best.
For "feed," I would use a combination of alfalfa pellets (3-5 lbs a day), beet pulp (2-3 lbs a day, dry weight), flax meal (1-2 cups a day), a vit/min supplement (like grand vite), and a digestive aid (like fastrack). I'd also make sure his teeth are good.
This type of diet has worked wonders for me for putting on quality muscle weight on hard to keep horses. The alfalfa has good protein and calories with real nutrition. The beet pulp has "cool" calories for the higher strung breeds, though not as much nurtition. Flax meal is a more digestible form of fat and is high in Omega 3 fatty acids (corn oil is high in Omega 6s, which can increase inflamation and are already high in 95% of hay horses eat). The vit/min will make sure he's getting all he needs, and the digestive aid will make sure his gut is in good working order and can absorb all of those nutrients.