No, this is a myth... It will just make you uncomfortable for your workout, and you will get jack of it when it does not give you any results... Try being as comfortable as possible when you are exercising, and work out for min 45 mins per session. And work out at least 3 times per week for noticeable results in 4 to 6 weeks. To really see a difference, take you waist measurements every 2 to 4 weeks and note your progress. If you are not getting results, you need to adjust some area. Either training harder or more consistently, or cleaning up your diet. Play around with it until you find the right combination to get the goods!
Wrapping your tummy and working out is not a long term weight loss solution...you will only be losing water weight on your body, not actual fat...just WATER.
It will come right back on as soon as you re-hydrate yourself.
What you're doing is akin to what boxer's or UFC fighters do to 'make weight'.....through sweating it out.
I wouldn't recommend this...if you want to lose weight, you need to do it the right way...a way which LASTS, and that is through maintaining a caloric deficit through diet and exercise.