Very few veins or nerves (if any?)there.
I did mine a little higher than that spot. I posted this on another thread:
Basically, stand up, feel the tip of your thigh bone (throcanter?), and the top of your hip bone (iliac crest). Now, switch weight from one leg to the other. The muscle that bulges out between them is the target.
Then stand with weight on the opposite leg, bend your target side knee a little, and that muscle should feel soft and spongy when you poke it. Make sure you're not close to either bone, and bob's your uncle.
Edit: also more towards the front, 1-2:00 in the mirror, 10-11:00 on your body