I feel your pain. I'm feeling rather lardy at the moment (I gain weight really easily). I've been going to the gym almost every day, which helps, but I wish it made me thin instantly. It's so depressing when you've come home from aerobics, and are feeling all healthy and thin, and then try to get changed and can't do your trousers up...
My advice is to start drinking lots of water each day. It's really good for you, and can help get rid of water retention, meaning that you'll feel a bit thinner. Do things that make you cheerful - much as I hate the idea of exercise, and feel like running away and hiding when I'm doing it, I feel loads better afterwards.