I understand my parents are trying to help my lose weight but how can I tell them to not call me fat?

Seek other support. Let them know your respect that they are concerned about your weight and that they should respect you enough not to be derogatory. If you yourself want to lose weight try to see your physician for support. Giving them the benefit of the doubt they are trying to help but we both know they are not. Those kind of comments would cause many of my patients to possibly eat more for comfort.
Directly & kindly. Words really do have power to hurt, do they not? Let them know in the very best way you can that the fat word hurts so they will not only hear you but actually listen to you.