First, although people continue to say "plaster cast," it is often made of more modern materials. It is better just to say "a cast." Also: process of aligning the ends of the broken bone is called "setting" the bone. In everyday speech we talk about "a broken bone," or "a broken leg." A more formal medical term is "a fracture." Here are some examples of use. "My leg is in a cast." "I have a cast on my leg." "The doctor put my leg in a cast." "The doctor put a cast on my leg." "The orthopedist set the fracture and put the leg in a cast." "I broke my leg skiing. The doctor put it in a cast." "I had a compound fracture. The orthopedist says I will have to keep the cast on for more than eight weeks."

It's actual name is an 'Orthopaedic cast' however, only a doctor will call it that. In normal every day speech, we would simply call it a 'cast'. Your second sentence is correct "My leg is in a cast". You could also say "I have a cast on my leg/arm".