I have oddly gained 30 lbs since I found out I was pregnant. I was 140 and now I'm 170. I didn't change anything in my eating habits. I try to eat healthy. But if your underweight they say a good amount to gain is about 35 to 40 or 45 lbs I think. You can try eating more carbs and foods higher in fats (healthy fats). I have found it easier to snakc all day instead of stuffing at meal times. So I'm getting some of everything.
I did the same thing. I snacked all day but I wasn't underweight. Just don't overstuff yourself or eat lots of bad things with bad fats or processed foods. Avacados I think would be good for you, they are amazingly nutritional and are full of all the good fats.
Your doctor will let you know whether you are gaining weight and if you need to gain more or if your already gaining the right amount.
You need to be eating no less than 2100 calories a day. Also like you mentioned increasing your milk/dairy intake. I think if you just make sure to eat regular meals, healthy snacks and keep that calorie count over 2100 then you should be fine. You should start to put weight on in your second trimester no matter what because the baby will get bigger as will your uterus and the amount of fluid around the baby.
If your eating a healthy balanced diet I wouldn't really worry about it.