She is better at swimming than me. Is this sentence okay?
Yes, your sentence is fine... apart from the lack of punctuation and capitalisation ( and, yes, these things DO matter!).
Grammar books from decades ago and pedants of all eras will tell you that 'me' is wrong. The prescriptive grammar enthusiast will tell you that the object case 'me' is incorrect and that your sentence should be "She is better at swimming than I" (subject case). The only problem there is that nobody actually says this in the modern world - most people say 'me'.
So what should you do? Risk sounding weird, just to keep your grammar teacher happy? Or say what most people say, but risk losing a mark in your grammar test? Well, fortunately, there's a third option - you can compromise and keep everyone happy by saying this:
She's better at swimming than I am.
Problem solved!