Underweight child

I wasn't sure where to post this, but hopefully someone can help me.
My 8 year old son has a BMI of 12.8, which is below the 5th percentile. He has no apparant medical problems, and at his last doctor visit (amost a year ago), the doctor said that he was fine, but just on the small side of the curve. Honestly, though, I don't have much confidense in this doctor. (I feel like we're just being hurried through the visits. I know I need to switch, but I'm not able to yet, due to insurance restrictions.)
My son needs to gain a little weight. He eats and is somewhat active, but he is a very picky eater. I try to introduce new foods to him, and I give him healthy versions of the foods he will eat. Example: Natural peanut butter on whole wheat bread, Grilled cheese sandwiches- again on whole wheat- with ham or turkey for added protein. It is nearly impossible to get him to eat vegetables, and difficult to get him to eat fruit, though he does drink 100% fruit juice. He also takes a multi-vitamin.
I have heard about using 100% Whey protein powder and about adding dry milk powder to his milk and other foods. (He will drink milk, but mostly only if it has Ovaltine in it, which we only put in about 1 TB, not 4 like the directions say.)
My question is: Is the whey protein powder safe to use, and if so, how much. Or, should I just try the powdered milk? Also, do you have any other suggestions?
Thank you!