Thank you everybody, that is a massive amount of advice!

I've tried to sum it up into a few bullet points.
First of all, many people have pointed out the importance of meta thinking about my goals:

• beware of diminishing returns;

• do something that improves your life, not only your attractiveness.

These are sensible and very important suggestions, which I've tried to keep in mind while compiling the list of things I should do.

• The obvious winner is to lose weight (that is, lose fat), which is at one time the most important and most hard thing to do. Is there a name for things like that? It seems to share the same epistemic position of FAI: at one time mostly important and almost impossibly difficult. WTF universe?

• The silver medal, to my surprise, goes to improving my fashion (thank again to everybody who suggested how to do that). This flies a bit in the face of optimizing for a better life in general, but I guess that if something is important, it is important. I'll dig into that.

• The bronze medal, and my second surprise, goes to learn how to socialize.

• The fourth place goes to exercise, and the fifth place goes to pick up a new hobby.

If I had to cluster those improvements, I would do it this way:

• physical appearance: lose fat - dress better - exercising;

• socialization: learn to socialize - start a social hobby, like drawing or dancing.

Other suggestion were in the cluster of increasing the availability of women: move to another city/country, online dating. Very few people had suggested to increase my salary.

That said, I'll concentrate on starting weightlifting, search for a sensible fashion education, research more about the science of dieting, and explore for an interesting hobby that at the same time helps me to expand my social group and gives me plenty of time to learn how to socialize (dancing seems to be very apt).
For the interest of measurable self-improvements, I will post in a month what changes have happened.

Thanks again to everyone who was willing to help and I've not had the occasion to reply.