If you are not comfortable talking about the SH on your thighs, I would see if I could talk about the change from arms to thighs: when did it happen, what thoughts or event in your life happened before the first thigh self harming, etc. It could be that you got tired of hiding your arms and usually no one can see your thighs. I would perhaps start as high up as possible just because it is less exposed, a practical reason. It may or may not have anything to do with your genitals and your sexual abuse but you could get to that question more slowly just looking at the switch itself instead of jumping to the proximity of the location being close to your genitals?