Not only am I always proud of myself when I say "no" to food in those situations, but I also NEVER later regret NOT having eaten the food. Once it's out of my sight, I just forget about it. I don't wonder later that night "Gee, I wonder if that cake was really good."
Now, sometimes when I do give in, it is "worth" it in terms of tastiness, but usually the food is only so-so and not worth it, and I DO regret it.
So, I think you should definitely feel proud!!