I have a small knot in my right thigh that sometimes feels like its burning.?

See doctor. It is impossible to tell what this is frombdescription. It could be cyst, lipoma, or could represent a lesion deeper below the skin surface. A proper examination and necessary testing such as a sonogram or biopsy may be indicated.
Get it checked. Could be a hematoma (collection of blood), or a myositis ossificans (calcification within the thigh muscle), or some other type of mass. Have it checked by an orthopedic specialist.