The tremendous development of nanotechnology is bringing us closer to the dream of clinical application of nanoparticles in photothermal therapies of tumors. This requires the use of specific nanoparticles that must be highly biocompatible, efficient light-to-heat converters and fluorescent markers. Temperature reading by the heating nanoparticles during therapy appears of paramount importance to keep at a minimum the collateral damage that could arise from undesirable excessive heating. In this work, this thermally controlled therapy is possible by using Nd3+ ion-doped LaF3 nanocrystals. Because of the particular optical features of Nd3+ ions at high doping concentrations, these nanoparticles are capable of in vivo photothermal heating, fluorescent tumor localization and intratumoral thermal sensing. The successful photothermal therapy experiments here presented highlight the importance of controlling therapy parameters based on intratumoral temperature measurements instead of on the traditionally used skin temperature measurements. In fact, significant differences between intratumoral and skin temperatures do exist and could lead to the appearance of excessive collateral damage. These results open a new avenue for the real application of nanoparticle-based photothermal therapy at clinical level.