Any body part that is used for gripping, leaned on, or weight-bearing will result in thicker skin. In normal adults, this is usually most prominent on (respectively) the palms of the hands, the elbows, and the knees/soles of the feet. In someone who crawls, it will be the palms of their hands and the knees. This is totally normal and is an adaptive mechanism.
Thick skin is normally "rougher" than thin skin and has no hair follicles. Again, normal. The surface the baby crawls on will determine just how rough and thick the skin is; the rougher the surface, the thicker and rougher the skin.
If that is all (and this sound like your case), no worries. The skin will soften up when your baby starts walking full time.
If, however, the skin is red, especially if it persists after your baby stops crawling for a while, the surface may be too rough for their tender skin. In this case, abrasions may occur which can lead to infection. Treat this by putting something down that covers the surface (a soft blanket or mat), and/or dressing them in long pants. If the pants show wear in the knees after a few days, the surface is definitely too rough!
You don't need to moisturize the skin unless it's dry or irritated, but it doesn't hurt the baby if you do use moisturizer. Most people (including me) don't use enough moisturizer to keep skin in optimal condition.