Yes, they work in the fact that they help to drain the lymphatic tissues (similar to how squeezing a sponge gets water out of it), but it's not a permanent thing. As you drink more water, the fluid can be replaced, but it won't necessarily be the same buildup of fluid (for lack of a better term).
I'm not sure if I'm misunderstanding what you're saying, but I know some women do have more muscular legs than others. If you're referring specifically to the cellulite, I'd try the massage... if nothing else, it'll help for a while. There are also products on the market that help encourage lymphatic drainage that you may want to take a look at if you're having problems with lymph fluid building up. Good luck and I hope I helped!