What's the best way to help my active dog gain and keep weight on?

If Loki is super active you could look into feeding a working dog diet (these usually have a higher protein/carbohydrate level than regular dog foods) or even add in a bit of a puppy formula to his daily meals for the nutrient boost.

I would, however, recommend a fecal test and exam for Loki prior to switching his food to rule out any issues such as parasites, allergies, etc which can affect weight gain and may cause a normally active and healthy-eating dog to not put on weight or lose it. If he checks out healthy, then adding to his diet may help. Your vet can also monitor his Body Condition Score to let you know if he's in a healthy weight ranger currently, or where you may need to tweak it to. Most people may think their dog is "too skinny", but many breeds are naturally slim/muscular as a healthy weight and it could just be that Loki is healthy for his body type.