Keep doing what you are doing for the humidity. Eventually the skin will come off - it may not be in one piece from the look of him. Is he a pet store purchase? If so, I'd recommend keeping any feces that he produces during the shed (that's when a lot of them poo) and finding a vet to send it out for a parasite check. (this is not usually a super expensive test - your looking at $50-100 depending on what lab and which tests. The ova/parasite check is the cheaper and basic test). Keep the feces in an air tight, clean container in the fridge until you can get it to the vet. The fresher the better
Most vet clinics will send stool out for analysis on the exotics, you want to make sure it is a "ova and parasite screen" and maybe throw in a "cryptosporidum or giardia" screen as an additional stool test if you think he is loosing weight or if there has been any diarrhea since your purchase.
To help him get some weight on, make sure you weigh him and the prey items that you are feeding. Every meal he eats should be between 10% and 15% of his body weight. Since he's on the skinny side I'd stay closer to the 10% mark so you don't risk a regurgitation. For example: if he is 100 grams he needs to eat 10 grams of prey. Rats are easier when they are adults, so switching to f/t rats early is usually recommended, but I'd wait on changing prey type until you have him eating consistently.
Hope this helps.