I was under the impresion that protein is not stored by the body. Any that you do not use is passed on. Its the carbohydrates in these type of drinks that will make you put on weight even when not training. This is because the body ultimately stores unused carbs as fat.
If you look at a heavy weightgain shake you will see that it is high in carbs etc but a Whey protein for example has very little.
I would also recommend the pyramiding with oral gear for peace of mind. However, the more modern day view on this is that you don't need to providing you are doing the right PCT. Anyone thinking of taking gear and don't know what PCT is then you don't know enough to be taking steriods in the first place and need to do some more homework.