The key is adding calories, not just protein. If you
substitute protein shakes for other foods that you normally eat that have actually MORE calories, then you lose weight. Your body does need some fats, too, and the healthy fats are the ones to go for. They can add calories quickly. Olive oil is great, and can be added in small amounts to most any food. Adding snacks throughout the day may be another thing that could help you.
It is not clear if you are a type 1 diabetic or not...