I have noticed that if you have your Sim exercise every other day or every day if you can, they stay in a healthy weight range without gaining weight. I have had three Sims pack on a lot of weight and the best way to take care of it, like other users have said, is the treadmill! That seems to take off the most weight. But I also had one of my guys start using the muscle machines and they lost the weight as well, it just took a lot of time. I had to have him exercise every day to do it.
Now that he has a high fitness skill, he eats things like garlic noodles, grilled chicken, BLTs, etc, and he doesn't pack on weight. I have him exercise at least once or twice a day (finally got enough money for him to have a gym at home!). Hope that helps a little.
P.S. isn't it also awesome that they get to watch TV when they are working out?! Bonus! LOL.