In the year 2008 the name Lola is not a nickname and it is most often used as a complete first name - so don't let that deter your decision.

I honestly don't think of it as a "sexy" name but instead a very delicate, sweet name. If you both love it then go for it.

And for what it's worth, Lila and Lana and Lori are used as nicknames for other full names as well (Delila, Alana, Lorelai etc.)