You can be technically "skinny" and have well-developed muscles, and still have saddlebags. And saddlebags are basically a layer of fat. For me, they are the last bit of fat on my body. In most women, the thighs and rearend tend to withhold fat reserves. Losing the fat by reducing calories (whether through exercize or reduced intake) will burn whatever fat stores one might have. Specific exercizes for the thighs and legs will certainly tone the muscle beneath the fat, and will tend to encourage fat loss. But it won't necessarily "burn off" the saddlebags - not right away, anyway.

And no, thigh/leg exercizes certainly can't hurt, but really, any exercize involving increased heart rate is going to help burn fat reserves. If Yen is biking, she will also be building muscle in all the right places.