It's only water weight you are losing. While jockeys, boxers and wrestlers might use this technique to lose weight before a ONE-OFF weigh-in, it does not burn any extra fat. You burn calories through ACTIVITY, not through sweating.
But the real point is not so much that this technique is ineffective for long term weight loss, but that it is actually dangerous. Sweating is the body's natural cooling mechanism, and helps keep the body at a safe and normal temperature when working out. Interfering with this may lead to dehydration or heat exhaustion/heat stroke.
And even if you stop before this happens, it means you are shortening your workout, and thus burning LESS calories, not more.
Bottom line: it is ineffective, and even dangerous. Stop doing it.
OK, I'll get down off my soapbox now.