A couple tips for those with sensitive skin or who are new to shaving (i.e. you're 13 and your mother has suggested you might consider shaving your legs if you're going to wear that skirt) ...

1) Shave in the shower. Wash your hair ... wash everything else including your legs. This not only cleans, but softens the skin.
2) Use an inexpensive conditioner. Lather it into your legs and then shave.