Thermoregulation is needed to keep our body temperature within certain boundaries, even when the temperature in the environment is very different. It does use up quite a bit of energy but on the other hand it allows our metabolic reactions to be independent on the surrounding temperature. Homeotherm is based on hypothalamus keeping the gain and loss of heat equal. If we didn't control our temperature, it would raise about 1,2 °C per hour only because of the basal metabolism. That is why we have developed several methods of managing it.
About 65 % of the heat loss of a naked human happens by heat radiation and about 15 % by conducting to the surrounding air and the surfaces touched and a varying part by convection (moving air or water etc.). Evaporation happens from every wet surface and thus perspiration is a good way to cool yourself. It is also the only mechanism to maximize heat loss when the environment is hotter than the body (e.g. in sauna). Also blood vessels dilate in hot vicinity and contract in cold.
What is the function of fever then? Why does it raise the temperature? Fever is caused by a variety of substances made by leukocytes which affect the hypothalamus to raise the temperature. It appears that fever is more harmful to pathogens than our system and that way helping the immune system. That's why it isn't useful to decrease fever with anodynes unless you're having a very high temperature.