I hold my weight in my tummy and my thighs primarily. As I lost weight, it went off of my tummy and everywhere else (especially boobs!) but was slooooowwwww to go off of my thighs. I mean, I dropped down to the bottom of healthy bmi weight range before my thighs showed much appreciable difference (and at that point my normally large chest was almost non-existent). I think we all just hold our weight differently and lose weight differently.
One thing I will definitely second though is weight training! Even if weight training can't cause you to lose weight on its own (diet is also crucial), it definitely helps change the shape of your legs. No matter the weight, when I am doing sincere weight training, my muscles show through. At my highest weight I was doing heavy weight training and I think my legs looked a lot better than when I was 60 lbs lighter and not weight training.