It won't help to wear heavy clothes in the warm weather. Sweating more won't help you lose fat, just water weight. In fact, it's unhealthy. You'll just increase your risk of overheating.
In the summer, wear lightweight, light-colored clothes. Be sure to use sunscreen and wear a hat. In winter, dress in layers. Polypropylene, silk, or thin, fine wool make a good first layer. These materials help lift sweat from your body and prevent chafing. Your outer layer should be made of material that can "breathe" and let sweat escape. Be sure to protect your feet, hands, and head from the cold.
Use the safety gear that goes with your sport. If you're cycling, wear a helmet. If you're playing racquetball, wear eye protection.
Avoid exercising when it's too hot or too cold to be outside comfortably. It's unhealthy to exercise outside when air quality is poor.