I wonder if this is partly technique?
What sort of fat layer do you have on your thighs? As I ponder if you'll actually catching the muscle as you inject, this could bruise the muscle and cause pain, you wouldn't see the bruising on the surface of the skin, but still feel the bruising effect though..
I use a pump now, but when I did inject I never bothered injecting in my thighs, as I really don't have enough of a fat layer there, so often hit a vien causing bleeding and hit the under laying muscle..
I always used to inject into the stomach even though I did 6+ injections a day..
Perhaps changing the angle of how you inject, so you don't inject at 90 degrees, but nearer 45 dgrees, this should help to avoid hitting the muscle, or do as I did forget the thigh's and continual to inject into the stomach all the time, as long as you keep moving the injection site around you should get any problems, I didn't...