What Can Be Done About Painful Lipomas in Leg?

Certain types of lipomas are tender, called angiolipomas. They can be removed if they bother you through small holes made with "punches", small circular blades that remove a small piece of skin like a cookie cutter removes dough. If the lipoma is encapulated or not adherent to the underlying tissues it can usually be squeezed through this small hole, leaving only a small scar.

Lipomas are subcutaneous fatty tumors that are usually not painful. Pain may be more often associated with glomus type tumors, angiolipomas, or lipomas that invade or abut sensory nerves. In any case, these tumors should be excised and sent to a pathologist.

Most importantly, you should know that if you have a painful or symptomatic lipoma, surgery may not diminish the pain, despite removal.

If the lipomas are painful, I would advise that you consider having them removed.
Tradiitionally this involves an incision and a resulting scar.
Some use liposuction which minimizes the incisions and scars but it has a higher chance of recurrence.

If a lipoma is symptomatic, especially if it causes pain, it definitely should be excised. Most painful lipomas actually have a good deal of vascularity to them and are technically called angiolipomas. I doubt there is much of a chance of malignancy, but why suffer in pain?
Excsion is best performed when the lipomas are small. As they grow they are also more likely to encroach on other tissue such as nerves and muscles. They will be more difficult to excise and you would be left with a more prominent scar, so there is no advantage in waiting.

 Clearly you should have these painful lipomas removed.  Done by a competent doctor these will not recur.  You might make new ones but the old ones should be gone for good.