How to fatten up my bearded dragon?

I'm really not familiar with the pygmy variety, but I am familiar with regular bearded dragons. Assuming they are the same species (again, I don't know) and just a smaller size then losing weight during the winter is not a good sign. It's normal for dragons to go through brumation during the winter. This is when they go into a semi-hibernation almost and stop eating, drinking, being active. During this time they should not lose weight because they are capable of slowing their metabolism down so they don't lose much, if any, weight not eating for a couple months.

Also going along with what I know about bearded dragons they need to be separated and the reason the one may be smaller and weaker is that the bigger one is able to dominate and bully it out of eating the most and best food as well as dominating it for the best basking areas (not to mention general stress that comes from being bullied). If you're parents won't get you a second enclosure consider rehoming one of the dragons to someone who has a single enclosure for it and knows how to care for it.

If you want to post pictures of your actual pets, a picture of the enclosure, the temps in the enclosure, what kind of UVB lighting you're using, and what you're feeding them I will try to update my answer to help a little more.

If you're concerned about the health of the smaller dragon take it the vet. Other than separating them and a vet trip there's not a lot I can offer to help right now, sorry.

The bigger one is probably bullying the smaller one.

If you can't separate them, make sure there's 2 of everything important (basking spots, hides, food dishes, etc--the only thing I wouldn't duplicate is water), so the little one can get away from the bigger one. And, when it's feeding time, you might take the bigger one out, feed the little one, *then* put the bigger one back in.

Also, you might try finding articles and such about bearded dragon care that mention that it's best to keep them separate, and show those to your parents, to try to convince them.

I wouldn't do wax worms to fatten a Beardie up because they are pure junk food, and that is an unhealthy way to do it. I would use silkworms to fatten her up, they are healthy high protein feeders, and high protein is just what she needs to gain weight. Give her as many of those as she will eat. High starch foods, such as squash, are also good for fattening her up.