One dr. Said its a possibility I damaged a nerve. Its hard to walk and stand my legs are in pain. Do damaged nerves heal on their own, should I worry?

Consider EMG & NCS . Emg & ncs can help define if the pain is related to a spinal nerve like radiculopathy, peripheral neuropathy or a focal entrapment.
See your doctor. Your symptoms do suggest possible nerve damage. Depending on the cause and extent of nerve injury, the symptoms can be well controlled with medication and lifestyle modifications. It is best to start treatment early for the best outcome, so see your doctor as soon as possible.
Consider. Consider an evaluation by an osteopathic physician. Although this may be nerve entrapment. You will need a thorough exam. Osteopathic physicians are trained with additional skills in examination of the musculoskeletal system. Also, besides the usual testing, we can offer manipulative treatment, if appropriate, which could help symptoms and help in looking for the etiology.