The proper way to gain weight depends on the reason you are underweight. If you are underweight because of an illness or eating disorder, you should talk to your doctor about the best way to gain weight, especially since eating too much and too fast can cause additional problems. In addition, if you have started to lose weight for no apparent reason, or if you feel unwell, a visit to your doctor is needed.
Many illnesses can cause weight loss.
If you are healthy but simply thin, you may not be consuming enough calories to meet your caloric needs. The best way to gain weight is to increase your caloric intake. However, regularly feasting on milkshakes and bacon cheeseburgers is not advised. The best kind of snack depends on what you are currently eating now. Probably the easiest and best way to properly increase your caloric intake is to see a dietician.