I am also overweight, and am worried about the same thing when it comes to my son, who starts preschool in the fall. I am just shocked that kids tease other kids about this. I would go to the teacher right away. if the child were a bit older, I might say wait, but I would definitely get the teacher involved. get these kids in trouble. Maybe if you see the teasing child with his or her parents, say something to the parents.
as for what to have your child say, I don't think you should have your child brush it off, I think its a good idea to have your child start standing up for herself at an early age, because wether we like it or not, teasing is a part of life and she should learn what to say. maybe tell her to say something like "that's not very nice" or "your mean" or say something like "how would you like it if I teased you about something" and just leave it at that. I think the bulk if it should be going to the teacher, and if the teacher does nothing, go to the principal.
so sorry your child has to go through this at such a young age. :-(
D.