It takes about 20 minutes of low-intensity exercise before your body switches from using energy in the bloodstream to burning fat, so try building up to an hour or so if you aren't already there. Also, exercising at a higher level of intensity (i.e., running) will burn the glycogen stored in your muscles and liver, but it won't burn fat. To make matters worse, depleting your glycogen stores will make you really, really hungry.

The other thing to try is eating right after you exercise. Your body will have an immediate use for the calories, meaning fewer will be stored away for future use.