I was actually a little stunned when I read the original post--what you described is so much more similar to my experience than what I read on most CF blogs. Even though I'm pancreatic insufficient I've never really had trouble gaining weight, and at one point I was even overweight. That's when they took me off supplements, and over the next few years that, puberty and weight loss to do an operation (not CF-related) made me slim out. However, I was then paranoid about gaining the weight back, especially since I felt like I had lost it almost accidentally.
I also have always been extremely insecure with my stomach, because that's where I gain weight first. Really nice, by the way, to know I'm not the only one. Just in case this helps, here's what's worked for me to get myself into better shape and feeling more confident about my body and health overall:
I would absolutely agree with everyone who's said lifting weights will help--I exercise a lot and use weights 3-4 times a week, and I'm much happier with my muscle tone and overall body shape. I promise that feeling stronger physically will really help you feel stronger in all aspects of life. But don't be that girl who stands in front of the mirror with her 3-pounders for half an hour...make sure to challenge yourself! You won't get bulky or overly "buff," just stronger.
As far as cardio goes, I would recommend interval training. Warm up, then do intervals of about 30 seconds going as hard as you can and a minute (or more, if you need) of easy recovery. Do this 10 times, cool down, and you've got about a 20 minute workout that will challenge and improve both your aerobic (i.e. lung) capacity and anaerobic capacity without wasting any of that precious muscle, which can sometimes happen with chronic long-session cardio.
Diet wise, I'm sure you know it's important to make sure you get enough fat and protein. But I have issues with CF people who think they can eat anything simply because they need extra calories, because in my opinion we still need to watch WHAT we eat (as opposed to how much) just as much as anyone else. Nutrition is a very touchy, uncertain subject, but here's one plan that's really helped me, and which I think goes really well with a CF lifestyle: http://www.marksdailyapple.com/.
Even though I'm still not happy with that little remaining bit of flab that won't seem to budge from my stomach, I feel so much more confident and in control than I did when I was trying to count calories or burn them away with endless hours on the elliptical...only to be constantly reminded by my doctor and parents that I should be trying to gain weight. The bloating is and may always be my worst enemy, but I try to remind myself that my condition could be so much worse and that I'm lucky even to be able to exercise and have the full life that I do.