I've never had this in my thigh, but it's happened to me twice with glute injections. It sucks.
I was concerned as well, but I never really had any site fever. I would massage the area while taking a HOT shower, and I would use a heating pad twice a day which seemed to help dissipate the swelling.
Hit up the Advil, and if it's peace of mind you're after go with the antibiotics. I'm NOT a doctor, just speaking from experience.