I dont believe in telling people not to do so, because if one's mind is intent, it can be done without significant harm. Skittle posted a number of alternatives, and is right in saying that around the hip area is very dicreet unless you're in an intimate relationship and your partner is unaware. Assuming you're considering superficial cutting and scratching, the top of the legs are also a safe place.
HOWEVER, remember, if you're going to, BE SAFE. Infection is a nasty consequence and more often than not leads to more scarring than you'd care for. Sterilise your object, and preferably choose one which is reasonably sharp - its a quicker, more intense pain with minimum scarring (I believe).
Think about stuff. And take care x