First, many durable medical equipment suppliers (DME) offer a home sleep "study" for little to no cost. The results are not as good as a sleep study in a lab, but for a lot of people, it's more than enough to confirm sleep apnea and get you to the point of an in home "titration" study to see what sort of range you need for pressure. The DME, of course, offers this so they can sell you a machine, mask and other supplies (i.e. they get the sale and get you as a client....long term $$ for them, so they don't mind the eating the cost for the home study).
Your nurse friend sounds like she has your best interests at heart, but losing weight is not a guarantee that you'll get rid sleep apnea. I know many skinny folks who have it far worse than I do....still, if you are doing the "usual" things like eating right, exercising regularly and having an appropriate body weight (by BMI, % fat or whatever metric is appropriate) it may or may not impact the sleep apnea but will help with your overall health.
If you do decide to get a machine on your own, definitely come on back. We're not doctors and don't do the whole "medical advice" thing...but we can certainly share what has worked for us