Hi
Welcome to the MedHelp forum!
The burning feeling in the thigh can be due to spinal nerve compression. The nerve compression may be superficial too (lateral femoral cutaneous nerve), that comes from the hip area and gets pinched. This condition is called meralgia paresthetica and is often due to weight gain or wearing tight clothes and belts. Losing some weight or wearing loose clothes and belts often helps relieve the pain/numbness/tingling. Also injection of lignocaine (anesthetic agent) at the site helps. Vascular pathologies like atherosclerosis, deep vein thrombosis too should be ruled out by dopplar studies. It can be localized eczema, dermatitis or patch of dry skin.
Since I cannot examine you and know other related conditions you may be having, nor is a detailed history possible on net, I have listed the various possibilities that should be looked into. Please consult your PCP for primary examination followed by proper referral. Take care!
Maybe you always put your cellphone on that side of the pocket, that is maybe irradiation effect due to a high frequency gadget. Eat that chicken bone marrow it has vitamin K, it will help you fight that thing.