I'm assuming he's got free choice grazing & the hay is just to supplement this? If not, you need to either give him free choice at it or dish it out little & often. Horses are built to have small amounts going through their stomach near constantly & problems such as ulcers and colic can result from them going hungry for too long.
Likewise, grain needs to be fed little & often - if fed at all. As horses don't cope well with high starch diets, and their digestion works predominently on bacteria in the hindgut, they won't get much goodness out of large &/or infrequent starchy meals, and this sort of diet/feeding regime can also cause hind gut acidosis, ulcers, colic, laminitis, etc. Therefore, while I think you can generally do better than feeding grain to horses anyway, starchy hard feeds need to be fed in small amounts over at least 3 meals daily.
So... If the horse is a good weight now, I'd just keep up the hay & feed a good nutritional supp. It is not bad for them to lose a bit over winter... particularly if they're likely to pack it on in spring - good for their metabolism to use up the fat stores. But if you don't think he'll do well on hay alone, or he's losing too much, my choice would be to add some lucerne/alfalfa and some (unsweetened) beet pulp or soy hulls for healthy weight gain.