How do humans get rid of heat during exercise?

Your body uses its sweat glands to perspire sending liquid over your skin to cool you down during exercise, though the sweat may feel warm to you this is because you body has already heated the sweat up by the time you see or feel it as it builds up, you begin to drip.

All sweat glands are to tiny to see, its not untill a collection of tiny liquid particles gather together they become dense enough to start rolling down the body gathering heat from your skin. So remember sweat is your friend and you need water to replenish what you loose.