I have an insect bite on my leg that has become red swollen and hard should I be worried?

Infected? See your primary care, urgent care or ER. Some skin infections rapidly worsen; cellulitis can extend under the skin rapidly get serious and life threatening. You need someone who can recognize the difference and treat appropriately. Brown recluse spider, tick, vespid, wasp or bee (these 3 look and feel bad but rarely get infected) among many others.
Infected insect bite. Need to see doctor, antibiotics as soon as possible. Take OTC Benadryl (diphenhydramine) 25-50 mg 2-3 times daily as needed. Warm moist towel over the bite x4 times/ day.
Skin infections. You may be developing a skin infection (cellulitis) or abscess at the site of the bite. Use warm soaks and consult a doctor for antibiotics or incision and drainage if the skin becomes more red, warm, or painful or the area of redness and firmness spreads. You can put triple antibiotic on it and cover with a sterile dressing like a band aid after washing the area first.