We consider guiding denoising diffusion models with general differentiable loss functions in a plug-and-play fashion, enabling controllable generation without additional training. This paradigm, termed Loss-Guided Diffusion (LGD), can easily be integrated into all diffusion models and leverage various efficient samplers. Despite the benefits, the resulting guidance term is, unfortunately, an intractable integral and needs to be approximated. Existing methods compute the guidance term based on a point estimate. However, we show that such approaches have significant errors over the scale of the approximations. To address this issue, we propose a Monte Carlo method that uses multiple samples from a suitable distribution to reduce bias. Our method is effective in various synthetic and real-world settings, including image super-resolution, text or label-conditional image generation, and controllable motion synthesis. Notably, we show how our method can be applied to control a pretrained motion diffusion model to follow certain paths and avoid obstacles that are proven challenging to prior methods.