Sweating is genetic and doesn't really mean all that much. Wearing a sweat shirt is ok when you are working out just to keep your body warm, so your body doesn't need to divert as much energy to keeping you warm. If you take long breaks during your workout sessions this can be advantageous...but trying to sweat for the purposes of weight loss is pointless as Iron has said, and can be dangerous, as you can dehydrate/overheat and pass out.

I sweat pretty easily so it's not a problem, but I've seen other guys that need to get prescribed medication to induce sweating. Your glands (pituitary I believe) is what controls sweating, and is genetically determined.