First you need to check and make sure your curves have the same amount of knots or curve points.

Prior to lofing under the Loft options click on polygon, and cubic, use sections set at 1, you can change this later. I have attached a jpg of the settings

https://img4.imageshack.us/img4/9661/pcom.jpg

The next thing is when you have done your loft you can click on the object and in Channel Box the attributes of that object you should see Inputs.

Here will be nurbsTessellate1, you can now control how many UV's you want.

This will give you better control over your testelation over your final object prior to needing to smooth the object.
Also smooth on render is far better than using the smooth option. You can access this under the objects Render attibutes.