Hey...I am in the same boat. I have pancolitis, I am guy and am desparatly trying to put on weight. I just had another colonoscopy which showed inflammation all the way through still...so I'm also back on prednisone.
My suggestion is to try to get as much healthy calories while you're on pred that you can, but try to avoid the junkfood binges (which trust me...everyone can vouch for how hard they are).
I also agree with Pb4 and quincy that a good probiotic is helpful. I take one...I think they help ...although I'm still looking for concrete evidence.
Try adding some flax oils or other healthy oils and nut butters or protein powders for weight gain. It's hard to gain weight with your body fighting inflammation. Keep working out, but listen to your body...don't overdo it and if you're having a rough week, month, year...just keep it light, enough to keep you active. (even if you have to downgrade to just stretching and yoga). Exercise is a huge stress reliever and it can help you feel better about yourself. I know when i'm at the gym, I just try to forget about it and just focus on being normal.
Keep fighting bud...and if you have tips you learn...pass em this way. I'm (along with many others) in the same boat.
Cheers