I love Flax, I always feed it to my horses, but I haven't ever seen it add weight. It has amazing fatty acids which are super essential in the horse's diet so I would definitely feed it either way (I've always fed ground flax seed, I imagine oil would get expensive).
For weight gain I've had the best success with Amplify, I would recommend researching and talking to your vet about adding that in to your horse's diet.
Side note- someone below recommended vegetable oil, while that used to be the standard thing to feed to add weight, it's actually got an bad ratio of Omega-3's to Omega-6's for the diet and will do more harm than good. Flax has the best ratio, so definitely a much better choice.