Rice Bran is an excellent choice for providing fat- which your vet is right about, they need lots of fat to gain weight. I currently feed Rice Bran, Alfalfa Pellets/Cubes, and 24-7 pasture to my hard keeper. Another really important thing to add weight is fiber, which can be found in Alfalfa and/or beet pulp. Since Alfalfa does not really have much fat, mainly lots of Protein and fiber, you will want to add something such as Rice Bran into your horses diet.
Also- if you are going to feed Alfalfa Cubes/pellets, I would highly recommend soaking them. Some horses always choke (my horse chokes on one broken up cube or a handful of pellets) or others never choke, but you don't really want to figure it out the hard way! Pellets soak faster but don't satisfy the horses need to chew long stem fiber - as pellets are ground up hay and cubes are chopped hay, both compacted - but if you are feeding to add weight you can really go either way. What I did was buy a bag of each and saw when one Casey liked best.. She had no preference, I prefer cubes, so that's what I usually feed.
“Good things come to those who wait… greater things come to those who get off their ass and do anything to make it happen.” - Unknown