Yes, you have to get your heart rate in your target zone in order to burn calories and fat. If I could lose weight by just sweating, I'd be anorexic looking by now living here in east Texas where the temperature gets up over 100 and the humidity is dang near 100 in the summertime. I sweat just walking out the front door sometimes when the humidity is way up.
Here is a link where you can figure up what your target heart rate zone should be. I bought a heart rate monitor to keep up with mine while I'm working out. I got it for about 20 bucks at Academy. Here's the link for you: