Mein Bein tut weh. My leg hurts.
Ich habe Schmerzen im Bein. = I have got pain in my leg.
Mein Bein schmerzt. = My leg hurts. However, this sentence may be correct in grammar, I have never heard anyone saying such.
You can have Kopfschmerzen, Zahnschmerzen, Rückenschmerzen...Beinschmerzen is possible, but sounds weird. We Germans tend here to the verb, like Mein Bein tut weh.