No, exercise is not it. I mean, it does burn calories. But it's far harder to get thin by exercising more than it is to do so by eating less.
For example, even a relatively fit person will walk at 4-5mph at most. At that speed, they'll do about 10,000 steps in an hour. That's one hour to burn a whole 400 calories. If they run, they might make that half an hour, but that assumes that their cardiovascular system is up to running for half an hour straight, which lets face it. No fat person's is.
Alternatively, they can make the same dent in their net calories for the day by simply not eating one chocolate bar.
Exercise is great for you - but it's great for getting fit. Not great for getting thin.