that has actually been scientifically proven. it applies primarily to cake but to some extent to pie also. by cutting very thin slices you expose a larger surface area of the cake allowing a good portion of the calories to evaporate, also the longer period of time between slices gives a longer time for the evaporation to take place.
in addition since this practice gives the mental illusion of eating less than you actually are, your brain sends a signal to your gastointestinal system, limiting its absorption rate since the brain has calculated a smaller intake of calories.