Megestrol Acetate in Treating Weight Loss or Anorexia in Young Patients With Malignancies Who Are Undergoing Radiation Therapy and/or Chemotherapy

Inclusion Criteria: * Any pediatric patient with an underlying diagnosis of a malignancy (excluding hematological malignancies like leukemias and lymphomas) * ≥5% weight loss from diagnosis of primary malignancy (must be currently on chemotherapy and/or radiation therapy or scheduled to receive cancer therapy OR ≥5% weight loss following bone marrow transplant (autologous or allogeneic blood/bone marrow) and not actively receiving corticosteroid therapy * Negative pregnancy test done =\< 7 days prior to registration for women of childbearing potential only Exclusion Criteria: * Receiving tube feedings or parenteral nutrition * Evidence of ascites * Current (within the past 28 days) or planned treatment with adrenal steroids (short-term use of dexamethasone around days of intravenous chemotherapy is allowed for protection against emesis), androgens, progestational agents, or appetite stimulants (e.g., dronabinol) * Known mechanical obstruction of the alimentary tract, malabsorption, or intractable vomiting (\> 5 episodes/week) * History of unresectable brain tumor or cancer metastatic to the brain * History of thromboembolic disease * Insulin-requiring diabetes * Congestive heart failure and/or uncontrolled hypertension * Anticoagulation * Previous history of thrombosis (personal and immediate family) * Concurrent corticosteroid therapy (except as an antiemetic)