Skinny Arab needs to put on weight!

My Arab was crazy thin when we first got him (late August) and we worked hard to put weight back on him. Once he gained some pounds we noticed that no matter how much he was fed, he simply would NOT gain any more. And now that it's winter he's lost a little bit of weight becasue he can't just go around eating grass all the time (although we try to give him constant hay all the time, and extra grain on those cold nights).
So my question is: now that it's winter & really cold, I was wondering how to put some more weight on him.
I don't know if it's true but I was told that you could give them plain oatmeal? Mash it up with some water and put it in their grain?
I've also been told that corn oil would work?
Any ideas would be great, thanks for any help!

On cold night he needs extra hay, not extra grain.
Sorry, too many variables to give a specific answer.

Purina Strategy Healthy Edge will put on the weight fast without making them any hotter.

Regarding weight gain: You could try beet pulp, cool calories, farnam weight builder, alfalfa...the possibilities are endless! Farnam Weight Builder and beet pulp helped my horse a LOT. (and also give more hay than you normally would)

As for feeding extra grain when it's cold: I recommend feeding extra hay when it's cold. Hay is what gives them the long lasting calories that keep them warm (:

What are you feeding now?

We feed about 3 1/2 quarts of Rolling Acres senior feed, no molasses, twice a day.
About half a bale of hay a day.
And tonight I started putting 1/4 a cup of corn or veg oil (don't remember, I think veg) in with his pellets.

On really cold days (like today) we throw out an entire bale of hay for him to pick through & that usually lasts about a day and a half for him to get through.

Soaked beet pulp and rice bran put weight on my girls nicely