Sure they work. They're not magic, nothing is. And, how quickly you lose weight depends on a million factors. But, if they are getting you into your target heart range, then you are getting as much benefit from them as you would from any other light cardio program. If you're not working in your target heart range, be sure and do the more difficult modifications; if you're still not in your target heart range, then you need are more intense workout.
When I started my weight loss program I was well over 300 pounds and couldn't walk more than 5 minutes or so without being miserable. I got a 1-mile tape and found this a very gentle, doable introduction to exercise. I just kept working at it, adding the more difficult stuff as I went, then I graduated to the WATP set and added Kathy Smith's weight training videos. I now work out at a fitness center 4 or 5 days per week, doing a variety of cardio as well as a full weight training program and the occasional yoga class. I've lost 140 pounds so far, and I wouldn't be exercising as much as I am if it were not for Leslie and Kathy.