I don't know why it took me so long to figure this out.

Add a little teaspoon of your favorite unsweetened gelatin-based pudding dessert powder mix to your protein shake. I put in vanilla or cheesecake or chocolate flavor but whatever you like and then I give it a good blend with a blender or milk frother. It doesn't really change the flavor much at all, adds less than 5 calories, gives you collagen which is good for joints, and makes a GIGANTIC difference on the texture of the shake. No graininess. Just a silky smooth drink even if you are just using powder, water, and a small bit of gelatin. Night and day.

EDIT: One caveat for our vegan/vegetarian comrades - research this. Some flavors of pudding are vegan/vegetarian friendly and some aren't. It even varies within the same brand apparently. I'm not vegan but I don't want to advise you folks to violate your dietary needs. Be well.