First of all, losing weight is NOT the same as losing fat.
Wearing more clothes (clingfilm or a bin liner etc) during training (usually cardiovascular) will make you sweat more, but will not help you lose fat. You will sweat more, therefore decreasing the amount of water in your body (weight drops temporarily), but when you rehydrate after training your weight will rise again. Think about a sauna, people don’t miraculously lost fat and get fit just by sitting in a sauna.
I would not recommend this approach for weight loss, unless you’re specifically looking to drop weight for a short period of time for example a weigh in before a boxing bout.