As others have said, climbing out of the saddle is a learned skill - both to control the bike, to maintain speed when transitioning from seated to standing when in a group, and learning to momentarily "unload" the pedals so you can shift without crunching the gears. It's also an "expensive" method of generating power - you can apply more force standing than sitting, but you incur a greater energy cost for that power, if that makes sense. I'm a sitter for long climbs, but I'll stand periodically just for a change of position. It's a useful skill, but not something I would use for prolonged climbing. If your thighs are burning while climbing seated, either drop a gear and spin more, or spend some time learning to engage other muscles - glutes, calves etc. I found that by sitting further back in the saddle, pushing "forward" rather than down, and concentrating on engaging my calves made a big difference to being able to maintain a decent pace on long climbs without trashing my thighs.