You lose thrust, but not as much as you probably expect. When an engine is turned by an angle α, its vertical thrust is equal to total thrust multiplied by cos(α). For small values of α, cos(α) is close to 1, so the losses are not much. You can notice it with the Taylor approximation for small angles:
cos(α) = 1 - α²/2
α must be expressed in radians (1 rad ≈ 57.3°)
Take this cool and beautiful launcher for example:
The engines are angled by 15°, and cos(15°) is approximately equal to... 0.966. So in the end, the loss is about 3.4% only
If you angle them by 45°, the loss would be much more noticeable though, at 29.3%