I wish I could say that I am totally shocked that a 6 year old has concerns about body image but in fact, there have been cases of kindergarteners hospitalized for eating disorders. Studies report that half of 3rd to 6th grade girls want to be thinner, regardless of their own size. Children who develop an eating disorder tend to be perfectionists, the “good kid” who has previously caused no difficulties for their parents.
I am guessing that you are right, that she is picking it up from somewhere, possibly a friend who heard comments from her mom or older sister. But in terms of suggestions, my first one would be to not dismiss her concerns. Instead of telling her she is silly for worrying, I would ask her where she got the idea that her legs are fat. We need to teach children it's what's on the inside of a person that counts, not what's on the outside. They need to be raised to accept people for who they are and not what they look like, and they need to be proud of who they are. If a child can love and accept who they are, they will be less likely to strive to attain society's definition of the "ideal" body image and they will love and accept their own bodies, no matter what size they are.
The Dove Campaign for Real Beauty has a terrific website which has exercises and videos you can do together to promote a healthy body image. Also BodyImageHealth.org is a website devoted to cultivating healthy body image in children. And of course, continue to be a healthy role model for her as well.