None of them will benefit you if you are skinny... Eat loads of healthy food, such as salads and chicken etc, then go to the gym (after waiting at least 1 hour) to burn off some excess calories, and to turn your new found flab into muscle. You can choose to do martial arts on the side. But if you only want to do one, try going to the gym until you have a reasonably good body weight and strength, then switch to martial arts, not forgetting to keep yourself in good shape.