Thanks for the responses, I think that the problem may be the softening the hair beforehand. I simply got my legs wet and went with it after that.

To Yaniel: I raced last season and didnt shave them, I got in a wreck in my last race. As race season starts I am now shaving. That being said, if you don't want to, don't. If you do, do. If you're curious, give it a shot (it feels cool when things rub your legs!) and besides it'll grow back if you don't like it.