Fatty treats need to be RARE not regular. More like once a month. You can give him one to possibly stimulate his appetite (my greys HATED wax worms though) but not more than that. He should gain weight sufficiently on high protein low fat foods like crickets. Make sure you're dusting with calcium and vitamins.

Males also tend to be thinner than females, that's normal too. A picture might help determine how bad the situation is.