My group of friends at school is starting to drink and smoke. I don’t really feel comfortable doing it, but I don’t want to look like a loser if I don’t. How do I say “no” to them without feeling left out?

There are ways to stay close to your friends even though they are exploring things you are not comfortable with.  Try to propose activities that do not involve alcohol/drugs, such as watching a movie or going to the park.  If they are your real friends, they will not see you as a “loser.”
But if you feel left out, talk to them about how you feel and maybe together you can come up with a solution.  Keep in mind that you don’t have to do everything that your friends are involved in to remain friends.
 
For information on how to combat peer pressure:
https://www.teensincharge.org/topics/dating-and-relationships/peer-pressure/
http://www.thecoolspot.gov/pressures.aspx