A couple of researchers from Australia have done the math and it turns out that the fat does not get transformed to hear/energy. Well, only a small bit of it. Most of the fat will be burned in the body and will be expelled in the for of CO2, carbon dioxide.
So, why not breathe more? Well, you first need to do some effort, you need some sports in order to increase the rate at which you burn fat in your body. Then you can expel it as CO2 and water.