There are a few different ways! Supplements like cool calories offer a "cool" way of adding calories to your horses diet. Possibly different or supplemental hay or alfalfa; consider a hay analysis which can give you the protein, fiber and sugar contents of the hay you feed and help adjust feeding. Lastly, adding a grain or pellet - some of our hardest keepers are on Cavalor and Poulin Grain brand feeds and it works wonders!
Personally, I really like CocoSoyaOil and CoolCal100 for helping my horses gain weight. It's what I've always used and I've had good luck with it. Neither of these products have ever made my horses hot; they were made to increase the horses calories without adding energy. Another great product about both of these products is that they add a nice glossy shine to your horses coat.