English prepositions: On or at?

[Tom]

Dear all

Please tell me which is a better preposition for the following sentence.

1- The bullet hit him ---------- the thigh. ( on- at)

Tom

[Yankee]

Hi Tom

"On" is the better of the two, but it sounds like the bullet hit and then went no further (as though he were wearing bullet-proof trousers or the bullet was simply dropped rather than shot from a gun).

If he was shot, I would probably say "The bullet hit him in the leg".

Amy