Go on youtube and type thigh burner, there will be a video by XIH Daily or something like that..it's a great exhausting workout. I lost a bit of fat in my thighs by doing it a few times a week. But remember not everyone can get a thigh gap it depends on our bone structure apperantly
Taking a brisk walk every day for 30-45 minutes will help with your thighs; so will doing yoga. It's true that not all of us can achieve a thigh gap. It's not necessarily the bone structure, but is the way we're built. For instance, I have a "pocket" on the inside of each of my thighs and even when I was very small ( around 100 lbs or less), I didn't have a thigh gap.
As far as exercise goes, whenever you exercise, you're building muscle, which is good, because muscle burns fat. You just don't want to have bulky muscles... yoga is awesome for that.