You can't spot-burn the fat on your underarms, just not possible. Keep losing the fat, and it will come off with the rest of it. You can build muscle to fill out the skin which will make things look tighter, but I wouldn't recommend just working the tiny triceps. Check out a book like New Rules of Lifting for Women, Body for Life (good online site as well), or the online sites ExRx or stumptuous (dotcom...might have botched the spelling on the last one, but google can probably fix it
) for a full body workout program.