I've never tried shaving my lets but I've always understoon that shaving your legs is mainly a benefit if you crash because it'll keep the wound cleaner if there's no dirty hair in the way.
Either way, I think it'd be warmer not shave your legs but if you find tights all itchy and stuff then keep your legs shaved I guess. I wear longohns and under cargo pants when I ride in the winter with hairy legs. Btw, yes I am a boy.