From what I read CLA doesn't help with weight loss but what it may do is help you gain muscle instead of fat if you gain weight. This is obviously pretty useful for body builders who want to focus on gaining muscle while overeating.
You can't out-exercise poor eating habits.
CLA (specifically Tonalin) does work. I am on Atkins and took CLA and within a week, my body was shrinking noticeably as my pants become baggy exceptionally quickly. Also, I recommended it to a female friend who went from 133 lbs to 125 lbs in 1 month with no diet change, simply by taking CLA. When she stopped taking it, the weight did come back.