If natural you mean not drugs, then thermogenic and proteins are simply extract from herbs or foods (pure protein for example is normally extracted from milk and eggs). I take some protein shake after the gym and my dietist said it's ok.
I'm doing both the things, cutting the fat and build muscles, because building muscles aid to lose weight, but muscles are build at max when you eat a lot (see bodybuilders that when not on contest are in some case almost fat), so the progress is not the same… you must have also good genes (there are bodybuilders that have a 6-10% of bodyfat all years, blessed by nature with high metabolism and fast mass growth...), wich I don't have, so I'm trying hard to follow the diet and workout according what my PTs say.