I've struggled a lot with gaining weight--I always end up losing it when I try. Being sedentary will make me gain weight quickly--just not the kind I want.
So I feel your stress.. I am NOT a thin, long-distance-runner's body, and I have trouble with it, so I understand that entirely.
You DO need to consume more calories than you burn. That's a simple, practical bit of common sense. If you burn all of the calories you eat, you will NOT gain weight. Sure, the TYPE of calories you need are going to be different from other people--and they still need to be healthy--but you MUST consume them. Having high-calorie, small snacks is probably the best way to start out with that. Things that are not full of bulk and fiber (like veggies) that will not fill you up and make you feel icky all day either (like complete junk food). But starting out small--like maybe a high calorie granola bar between breakfast and lunch, and a dessert after dinner that's not full of glutamate and sweeteners like old fashioned ice cream are simple ways to 'add' food to your diet without killing yourself. Avocados, for example, have a lot of calories in them and they're not too filling.. so simply adding an avocado to your sandwich could be a great way to help give you the calories you need. You don't need a TON more all at once.. Slow, gradual steps will build up your appetite.
Speaking of... Exercise is absolutely required. You need protein in your diet so that you can build the muscles you need. Everyone is RIGHT on track with the idea of lifting weights vs more body-type physical activity like Kung Fu. (I would argue Kung Fu is actually really awesome to learn, practical or not, but maybe and your ballroom dancing should be your 'cardio' days, and leave the rest to weight lifting.) You need to push some weight around--whether that be your own, or using things you find around the house, or at a gym with people who know what they're doing. A gym is a really great place to find support for things like this, but even if you're crunched for money, there are plenty of exercises that are free that you can do to lift heavy weights and things.
Keep us posted on your progress, I really like to read people working towards goals like this.
