Any exercise buffs out there? Please help..?

I've been exercising almost everyday for the past 3 weeks..I sweat my butt off but I feel like when it comes to exercising the "right" way I'm not doing it correctly...for instance, is it bad to do the same cardio machine everyday (even if it causes me to sweat like I jumped in a pool)? Is it bad that I burned over a 1,000 calories today on it? I have naturally thick, muscular legs and I want to make them more thin and feminine..if I have the resistance on a high number on a stair stepper machine, will working my legs harder just make them bulkier and more muscular? I go for runs, too, and do different weight machines at my gym, but I don't want to get really muscular..Is it true that lifting a heavier amount will cause me to get big muscles and lighter weights will give me lean, "slender" muscle? B/c I tried doing a bunch of reps with lighter weights for my legs and arms and I just don't feel satisfied if I'm not sore the next day from my workout..I don't do the same exact workout everyday, I try to change it up and do intervals of stuff..I'm trying to workout twice a day. I am seeing some results since i started, my clothes are a little looser, but I want a slender body and I feel like I am just going to get more muscular and don't know how to do the right exercises for me...thanks for any advice!