I feel a heat like sensation on my outer thighs. Should I be worried?

Thigh burning. Anterior lateral thigh heat or burning may be related to meralgia parenthetica which is related to the lateral femoral cutaneous nerve. This can be due to compression in or about the anterior hip or due to systemic diseases such as diabetes. Usually easily treated. Can become painful and uncomfortable. Heat sensation also be due to other conditions. Best evaluated with a good clinical exam.