I have that Topeak bag with the clamp and I love it. It comes in three sizes, I think, so you can just choose how big you need it to be. Mine is pretty big, because I hate carrying stuff in a jersey pocket. It also has a little elastic for holding a tiny hand pump, which is handy.

My husband used to use this teeny little wedge bag and stuff everything in his jersey pockets, but then I loaned him a Planet Bike wedge bag that was too big for my needs, and although he only reluctantly accepted it because he had a longer than usual ride planned, it hasn't been off his bike since. It really sucks to break down and get stuck without something you need.

I've never had a thigh rub problem with any wedge bag so can't help you there.