I hear you. I am not unhealthily thin, or not much so. I hover between 125 and 130, but I'm 5'9" and what little weight I have is muscle. The heaviest I ever was was just over 135 lbs and I was eating whole wheat everything and lots of beans. We were in a volunteer group project and part of our thing we had to do was go vegetarian and no processed foods at all for 3 months. I was almost fat. Cool. We even made lentilburgers instead of hamburgers. They weren't all that bad, except I detested beans at the time; I still won't eat lentils but have grown to like kidney beans.
I find the best thing is to eat basically constantly. When I'm paying attention, there is always a container of nuts and fruit in my vehicle. A mixed bowl of nuts, fruits and cereals on the kitchen table. I am not a fan of sandwiches, but when I do eat bread it's rye. Stay away from white bread, bake with whole wheat flour (or at least a 50/50 mix with white) and sprinkle ground nuts or seeds on anything and everything: salads, meats, vegies -- whatever. Experiment with it. You can get some absolutely amazing flavours!