Side-lying leg press with Pilates magic circle is a great thigh exercise - it has a special emphasis on the inner thighs. It also tones the glutes (butt muscles) quite well. Of course, this is Pilates, so we are engaging the whole Pilates powerhouse for length and stability.
Before reading the instructions for this magic circle exercise, notice that in the image above, the instructor, Lisa Hubbard, and class members are doing this exercise with exceptionally good form. Notice the long lines of their bodies -- how they reach from center but don't overextend, how their shoulders are down and you can see the energy extending out the tops of their heads, how their rib cages are lifted away from the mat, not sagging. Take those tips and find that kind of energy in your own body. It makes the exercise easier.
This exercise builds on skills learned in the side-lying Pilates mat exercises. You may want to try those before adding the magic circle.