Sovereignty is like virginity. You cannot lose a little bit of it. It is a binary concept. You either have it, or you don't. A state is either sovereign or it isn't.
The UK has kept its sovereignty throughout its EU membership, just like all of the other member states.
The fact that we unilaterally held a referendum of our EU membership (twice!) proves that the UK is sovereign. If the UK was not sovereign, it would need the consent of the EU to hold an independence referendum.
Scotland, for example, is not sovereign, so it needs the consent of the UK to hold an independence referendum.
The UK has always been free to leave the EU whenever it wants, even without holding a referendum, the UK could just leave unilaterally.
However, this is all semantics. The underlying issue remains, that people think the EU is ruling over the UK; that the EU is some foreign power creating rules that we can't do anything about.
This is a fundamental misunderstanding of (a) what the EU is, and (b) how the EU works.
The EU is not some foreign entity where we have no control. The EU is not "others", the EU is "us". It is a collection of entirely sovereign states getting together to agree common principles. When the UK signs a treaty with another country, people don't complain that the UK is losing it's sovereignty, people don't complain that the other country is ruling over the UK. It's just a treaty that has been agreed to by both sides.
The EU is the same, but instead of an agreement between 2 countries, it's a whole raft of agreements between 28 countries.
The UK has been a fundamental decision maker in all of the legislation and directives passed through the EU. And in the vast majority of cases, the UK has been actively pushing for these agreements, because they directly benefit the UK.