Hello,
Itching of the legs occur when you exercise because there is secretion of a substance called histamine into the skin due to constant friction.
Taking anti-histaminics like Benadryl before you start the workout can help to some extent.
Applying a mild steroid like 1 % hydrocortisone over the skin will also help but it is better not to apply steroids for longer than 2 weeks at a time. You can apply a cold pack over the legs as soon as you finish the workup to cool down the skin.
Wearing cotton socks to absorb the sweat and decrease secretion as well as wearing ankle warmers will also decrease the productions of histamine.
I hope this helps.
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Experienced in the management of Pregnancy,Infertility,Menopause and all problems in Pregnancy and Gynecology