the thigh has a lot of nerves, and trust me, ive hit them quite a few times. whenever i hit a nerve or go through a decent size vein i am def sore for a few days. theres also a chance that u didnt get deep enough into the muscle...this will usually cause swelling and pain.
as long as u dont start running a fever and the spot doesnt become red, hot, hard, and sensitive to touch then ur fine