The fats in our body are stored in fat cells. When we over eat fats does the size of our fat cells increase, are more fat cells generated, or do we "throw out" excess fat?
The number of fat cells, or adipocytes, in adult bodies remains constant. Therefore, consuming more fat only increases the size of the fat cells not the number. After reaching the age of about 20 years the average number of fat cells is closely related to body mass index.
On the other hand, the adipocytes in children increase in number as more fat is consumed. This explains why people who became fat as children have a harder time shifting their weight as adults.
A study on obese adults who went through surgery to decrease the amount of food intake showed a reduction in their body weight by 18%. While the average size of the fat cells decreased, the number of fat cells remained the same.
This doesn't mean that the same fat cells are active throughout your lifetime. Adipocytes normally die off and are replaced by new cells. One study shows that fat obtained from liposuction of people who were exposed to radioactive materials from atomic bombs in the Cold War showed a decrease in radioactive material stored in the cells which indicates replenishment of fat cells over the years.
So when adults intake excess fat, their fat cells increase in size. The average number of their fat cells is correlated with body mass index. However, when children eat excess fats they exhibit an increase in the number of fat cells.
For more information see: http://www.nature.com/news/2008/080505/full/news.2008.800.html