This paper illustrates an experimental activity for the closed-loop position control of an actuator made using shape memory alloy (SMA) wire. A solution with the self-sensing effect was implemented to miniaturize the systems, i.e., without external sensors. A proportional control algorithm was initially used, demonstrating the idea's feasibility; the wire can behave simultaneously as an actuator and sensor. An experimental investigation was subsequently conducted for the optimization of the developed actuator. As for the material, a Flexinol wire, Ni-Ti alloy, with a diameter of 0.150 mm and a length of 200 mm, was used. Preliminarily, characterization of the SMA wire at constant and variable loads was carried out; the characteristics detected were elongation vs. electric current and elongation vs. electrical resistance. The control system is PC based with a data acquisition card (DAQ). A drive board was designed and built to read the wire's electrical resistance and power it by pulse width modulation (PWM). A notable result is that the actuator works with good precision and in dynamic conditions, even when it is called to support a load up to 65% different from that for which the electrical resistance-length correlation has previously been experimentally obtained, on which the control is based. This opens up the possibility of using the actuator in a counteracting configuration with a spring, which makes hardware implementation and control management simple.