You said it right - "I have a pain in my leg". You could also say "my leg hurts" or "my leg is bothering me". They are all more or less the same.

My foot is sore; my knee aches; my leg is giving me pain....lots of variations

One could simply say, "My leg (or some other part of the body) hurts/aches!" Here is the list of words you can use just like "headache:" Stomachache, bellyache, toothache, backache, etc.

Owwww my leg