Re: whey ??
The trick to working in protein shakes is to remove calories from somewhere else in your diet. If you just keep adding foods, of course you will gain weight. You just have to reorganize a bit to accommodate a hundred or so calories (depending on how much whey and what else you add to the shake).
And I don't see where there are huge amounts of cholesterol in whey. Isolates have almost none and around 50 mg is the highest I found in concentrates. Maybe you're looking at weight gainers?
Keep your body lean, your blood clean and your mind sharp. -Rollins