Oh I can so totally relate! I have super sensative skin and I get bad razor burn that takes a good 2-3 days to go away and by then the stubble is back and have to shave again so its like perma razor burn. I tried Nair and other like products and waxing, that just gave me horrible rashes.
It got so bad I was about to give up on shaving, tell my husband to get used to it and wear pants and dark tights for the rest of my life until one day I was inspired to go talk to a barber. Figured facial skin is much more sensative then leg skin. The following is what he recommended and its been heaven sent ever since, well I amended it just a little after the Venus razors came out on the market.
First, lotion your legs really well. Take hot towels and wrap them around your legs for a solid 2-3 mins but remove them before they start to cool (this softens the skin, opens the pores and hair folicles and softens the hair.), now this is probably the most important step, warm your shaving cream and use the mens shaving cream for sensative skin. You can buy the shaving cream warmers at most drug stores.
With warm water rinse the lotion off and immediately lather the leg. Have a bowl of warm water to soak the razor before the first pull and clean razor after every swipe! Buy some small travel size conditioners and have them sitting in some warm water (easier than trying to warm a regular size bottle). Rinse the leg with warm water and after you are sure that the leg is clean, generously slather on the warm conditioner and let sit while you repeat the process on the other leg. Sit there for 5 mins on the other leg then either shower as usual (avoid using soap on legs just rinse off). After your done with shower, gently dab with soft towel and immediately slater on lotion but avoid rubbing in, just cover and let sit to absorb.
This is all such a pain in the, well you know, but the trick is warm, never shocking the skin. I've not had an instance of razor burn since. I also use it as an excuse to make sure I get some mommy time, win win... lol. Oh yeah and avoid any and all alcohol products around your legs and if you can avoid pantyhose for a day after, that helps too. I also find that I don't need to shave as often as I used too.
If this doesn't work, I would try those rub off hair pad things, can't remember what they're called but they've been known to help some (gives me rashes too).
Hope this helps!