Yes doing squats does help to burn fat on your thighs.
Doing squats works the major muscles in your hips and legs so you burn the calories and burn the fat in the thighs.
If you do squats everyday for a year you should see fat burning off your thighs and see a reduction in your thigh size.
I lost a lot of weight and fat on my thighs when doing squats twice per day everyday for a year and I started seeing results within a few months.
You also improve your legs strength as well and give yourself a good workout which is healthy for you.