What is the difference between sciatica and just having hip or thigh pain?

Hard to tell. However an easy way to tell is if your pain is in the groin region or in the front thigh area where the legs meets the pelvis it could be hip. Otherwise it could be sciatica as well. Recommend seeing a spine/pain specialist that has musculoskeletal training to determine what your problem might be.
Complex answer. Great question! Sciatica usually refers to a nerve type pain that radiates down the leg, often to the foot. It can be sharp, shooting, burning, and tingling. Hip pain can be due to the hip joint itself (osteoarthritis), sacroiliac joint pain, bursitis, or referred pain from another site, such as the facet joints in the low back. Thigh pain can be muscle related, referred pain from the knee joint, .
Big difference. Sciatica pain runs down the leg in the distribution of the sciatic nerve. Hip pain strays localized to the hip/outside of thigh.