No, it isn't necessary to use anything at all when shaving ... not even water. Although dampening the skin can make shaving a little bit more comfortable.
When Rowan and I lived in a tiny cabin in the hills for a year recently, with little to no modern conveniences, I would put a bit of cold water into a plastic basin then boil some water to add heat. Then I would soak a washcloth in the basin and drape it over/on one leg for a few minutes. Soak the washcloth again and drape it over the other leg. And then I'd shave the first leg. By then the second was ready to shave. And then I'd wash both legs with the washcloth.
No soap, no shaving foam, no creams, no hair conditioner, nothing. Just a small basin of hot water, a washcloth, and a razer. And all under 10 minutes.
A cycletourist could do the same sort of thing in camp at night ... I carry a men's handkerchief to use as a washcloth because it is small, light, and dries quickly ... and the basin could just be a cooking pot. Boil water in the cooking pot, let cool a bit or add a splash of cold from your water bottle ... and begin ...