Sue...funny you should mention this! I shaved my legs this morning and had to avoid the two huge bloody knots on my shins where I fell off my son's pool deck on Easter...and OWIE, OWIE! Red ants and bee stings all at the same time. I rubbed my legs with lavender oil and it helped a little. Try some cream or hand lotion but make sure it doesn't have any alcohol in it!
I use the gillete venus razors, which I find work really well, even though they are a little expensive. Also, if you use shave gel instead of soap, that seems to help. Afterwards, definitely use lotion. I like using cocoa butter.