No, really! Studies have been done!
It's actually true that regular consumption of hot sauce (which contains capsaicin, a substance found in chile peppers in abundance) can affect your propensity for weight gain. Here's the medical gobbledy-gook explaining why:
The effects of capsaicin are said to cause "a shift in substrate oxidation from carbohydrate to fat oxidation". (1) This leads to a decrease in appetite as well as a decrease in food intake. Both oral and gastrointestinal exposure to capsaicin increases satiety and reduces energy as well as fat intake. Oral exposure proves to yield stronger reduction suggesting that capsaicin has sensory effects. Short-term studies suggest that capsaicin aids in the decrease of weight regain. (2)
Capsaicin does a LOT of other good things, of course. It actually kills prostate cancer and lung cancer cells (3) (I KNOW!) and guards against other cancers like leukemia, reduces inflammation and pain from arthritis, treats skin diseases including psoriasis and reduces post-herpetic pain from shingles.
So if you're trying to lose weight ~ or keep it off ~ have as much as you want! Chile pepper sauce is your hot friend!