You might try the North West Castle in Stranraer. They are a sister hotel to the Fernhill, but we've always had good deals there. They have a pool. Good food, bit old fashioned though! There's also the Cally Pally at Gatehouse and Kirroughtree at Newton Stewart (also part of the same group - McMillan)
The Golf Hotel at Powfoot (just down the road from me!) has just been done up. No pool though - they did open a spa, but I don't know what happened to it!
I don't know it, but the Barons Craig Hotel at Rockcliffe is being done up and is closed, supposedly reopening at Easter next year. Again, no pool.
The Friar's Carse is meant to be nice - again haven't been. The Urr Valley at Castle Douglas (CD is a nice town to wander round)
Possibly a best bet would be the Cairndale in Dumfries. It's one of the better hotels in the region and has a pool/gym
. There's also the Aston Hotel - lovely hotel, fab setting in the town, but no pool.
It really depends if you want to be close to the coast (little B&Bs mostly) or in a town (bigger hotels, more facilities)