Getting pregnant with PCOS and without assisted conception is more common than you might think.
I was diagnosed afew years ago and we started TTC in Oct 2006. After a year we were referred to the fertility clinic whcich told us pretty much what we already knew, and in addition that DH had poor morphology. We were offered IVF there and then, largely because our NHS trust had recently invested a lot in clearing waiting lists. Not wishing to look a gift horse in the mouth, we agreed.
We had two cycles of IVF, one of which went well but ultimately failed, and the second of which produced no embryos. As blase and open-minded as we were about it, it was hard - failure hurt like hell in fact - and we split for a time afterwards.
After first being diagnosed with PCOS, I gained some weight, but throughout the process of TTC that I've just described, I lost weight using Weightwatchers points and exercising (a lot, and hard!) I have since conceived spontaneously, following no special diet plan and with no alternative treatments.
So the best advice I have is if you've got any excess weight, lose it, and even more importantly, exercise.