Hi Ediye,
"My sweetheart" is different to "sweetheart". "My sweetheart" is definitely used only when talking to someone very close to you and probably your children, or girlfriend or boyfriend. It could be used in the following ways: "She's my sweetheart" "you are my sweetheart" "That's my sweetheart", etc. However, "Sweetheart" can be used in more ways, including in a derogatory way such as: "listen sweetheart, that's my seat, move!" If someone says that to you, it's not very nice:) People use sweetheart all the time in a friendly way, particularly in the UK. Many time people have said "Hello sweetheart" to me, even when I don't know them. It's a friendly and affectionate term. It's part of everyday language in some parts of London, for example.
Hope this helps!
Sinead