She has lots of food by the sound of it, lots of movement and care. I would agree with Saddlebags comments about blanketing, rather than putting her in a heated barn. A heated barn can be very dangerous because you could be moving the horse from one temperature to another with a huge temperature change. Not good for horses. Let her body figure out how to grow a winter coat by keeping her outside with a shelter. As Saddlebag said, keep a blanket ready in case you need it for those rainy windy wintery days, but be quick to take it off as soon as you think you can. When you get to that point, there are lots of people here that have great experience with different blankets. Keep in mind however that your girl's paddock has lots of little places for blankets to get caught on, so what you do with a blanket will be different than someone whose show horse gets turned out in a white picket fenced paddock :)
I also think that Saddlebag may be onto something with the ulcer thought. So, to test that theory, cut out all grain from her diet as I said above. Then use aloe vera juice/gel and slippery elm bark to treat and sooth ulcers. This treatment will not hurt if there aren't any ulcers and is relatively inexpensive. Two - three ounces of aloe vera mixed with two teaspoons of slippery elm bark. Start out with three times a day if you can for a week or two. If not, at least twice a day until you start to see improvement. Continue for another week to 10 days. Then you can probably take her down to one dosage a day. Once she is at a good weight, you can probably take her off the treatment.
Tip for monitoring her progress: take a picture of her in one particular spot at the same time of day at the same angle regularly. Comparing photographs in different lighting, as you noticed, can be deceptive. It is especially hard for you to see the changes because they are so gradual. Taking pictures and then looking at them in order on the computer can be much easier for you to judge from.
Continued good luck with her!