Yep, loopback policy is probably what you want.
I like to keep my policies modular so what I did was create one computer only GPO that enabled loopback processing, and then a 2nd user only GPO that applies all the settings you want.
Apply them both to the OU containing your RDS servers and make sure that the GPO that enables loopback processing has a higher precedence than the one containing the settings. If you look at the “Linked Group Policy Objects” tab for the OU you should see the policies you are applying and a precedence number next to them, the lower the number the greater the precedence.
I hope this works