Why do you have to tell him? Just go exchange them for a larger size. I doubt he cares either way. He knows what your thighs look like.
Don't read too much into the fact that he bought ones that are too small. Most guys I know are terrible at judging size. If we aren't sure and have to guess, those of us with any sense guess low. The last thing a guy wants to do is buy you something that's too big and insult you. "What do you think I am, a cow?"
If it's not possible for you to exchange the socks without his involvement, I say just tell him they're a bit tight and you might need a larger size. So what? You are what you are. He's not going to be disappointed or look at you differently. Again--he knows what you look like. If you simply can't bear to tell him, your only other choice is to stash them away and hope he doesn't notice that you aren't wearing them.
Thanks for the question.