You don’t have a gambling addiction because you’re lonely, you have a gambling addiction because you have a discipline problem. Start saving money and delay that gratification rather than using your vice (gambling) to fulfil that emptiness you feel inside. As for the lonely part, you deal with that by putting yourself out there, join some groups, play some video games, find a hobby and make friends that way, I can promise you there are people out there that can relate to you. Also, start working out, you will build yourself up and you only require yourself to do it, this too will rid you of those empty feelings by validating yourself and building confidence.
   When dealing with any addict, understanding is key to helping. Without the ability to understand their addiction you cannot fully help them. The best was to truly understand someone else's problems is by talking to them about it. Gamblers are not much different than drug addicts. Both are chasing a high, and will go to the extreme trying to catch it. A drug addict might lie, cheat, steal, and act with little regard towards others feelings. A gambling addict will do a lot of the same things, but the high they’re chasing, is the high of winning.