I have a very small lump under the skin on my left calf. Is this something to worry about?

Have it checked. New lumps on your skin should be checked by your family doctor or dermatologist. Only by their evaluation, and a possible biopsy, can a definitive diagnosis be made.
See MD for new lump. Any new lump needs confirmation that it is ok. The majority of new lumps seen are in fact, benign (non cancerous) but new lumps could be worrisome and at times, even if it feels consistent with a benign lesion on examinaton by the most experienced physician, new lesions, may be the first sign of a cancer, whether local or from a distant site. See a doctor, and a removal is often the best advice.