What can I do about horrible skin dryness on my leg?

Moisturize. Dry skin is best treated with a good moisturizer daily. Especially after a shower when your skin is already moist. Try not to take too hot showers, that can dry skin that is already prone to itching. Newer moisturizers like cerave contains ceramides that help hydrate the skin even more.
Many things. Avoid things that make you break out, soaps & wetness. Wash your hands only when necessary. Wear gloves when needed. Wear clothes made of cotton. Bathe only with a small amount of mild unscented soap, such as dove. Keep the water temperature cool or warm, not hot! use the medicine your doctor gave you. Use a plain moisturizer daily. Avoid scratching or rubbing the itchy area. Manage stress.