Thanks a lot for the welcome and the advice!
I have got *ahem* "proper" running shoes... that I found lying about the house somewhere and they seemed to fit pretty good

I admit I tend to skimp on things like equipment, but although I think running shoes would surely help overall, I'm not sure that my current pain is due to that since I've had this problem for a long, long time and I used to have decent shoes.
If I manage to keep going at the running thing, I will buy myself some nice shoes though.
Richard, thanks for the pic, sorry to hear about your Tensor fasciae latae, I wish I could be so exact in my diagnosis! I'd put the pain (well soreness really) somewhere around the nice green circle I've drawn. It feels quite deep cos no matter how much I push and prod from the outside, nothing hurts, only when I lift that right leg up.
EDIT

orry I can't include images in my post for now because I'm new, so I added it as an attachment.
I don't know if it's related at all, but while I was messing about trying to diagnose myself, I remembered that I get a kind of clumping sound when I kick my front leg out. It feels like the femur is popping slightly/significantly in and out of place when I do this motion. Doesn't hurt at first, but it's a very audible clump and jolt and feels like it would start doing some proper damage if I did it regularly. Looking about on the internet I found some stuff about IT Bands and hip band snapping and stuff which sounds similar but not quite the same... I've actually had this for ages as well, but it only happens when I kick my leg at a certain angle (it stopped me from doing a front kick when I did a bit of kickboxing). I just wondered if it might be related some how.
Well none of this is particularly serious right now but I've learnt both from experience and from reading sob stories on forums that it's probably better to nip any niggling kind of pain in the bud.
Any good ideas as to a diagnosis?!