This is a question that has been asked of me many times, so much so that I feel it is an important myth to highlight to a wider audience as the consequences of exercising in extreme heat conditions can be dangerous and sometimes even fatal.
Quite simply put the actions of temperature on your body (whether hot or cold) does not act to enhance the body's metabolism to use fat any quicker than exercising at comfortable temperatures.
Training in hot conditions such as exercising at midday in warm climates or by using "weight loss" or "sauna suits" is quite often incorrectly thought to be better for fast 'fat loss' than exercising in cool conditions. The problem being that this perceived loss is not fat at all but loss of bulk water via perspiration. The lost weight is regained once proper hydration levels are reached.
Calorie Deficit is the Key
The way to achieve fat loss is by creating a calorie deficit, either by means of exercise or changes in diet ( or both ) to encourage the depletion of fat stores by using as them as energy. Exercise should not be carried out in conditions of extreme heat, you risk dehydration, heat exhaustion or worse. Be smart, exercise safely, stay hydrated and keep cool!