What kind of razor do you use?
I find the multi bladed razors irritate the crap out of my skin.
I use a safety razor. However, I have only just started really, so a close shave is not something I can quite do yet. And with a safety razor, the shaving process can take upwards of 30 mins.
But your skin will love you for it

as you use one blade, and its always lathered in shaving cream. Additionally, you will probably end up doing about 3 passes. One with the grain, one across it, and one against it (WTG, XTG, AGT). Lathering each time.
Check out
http://www.badgerandblade.com/ for .. like seroius shaving tips!
Also good for legs

I know quite a few other women who do this... In fact that's how i found all this information

If you're gonna stick to cartridge razors, some tips that apply to safety razors apply here as well. With a cartridge razor, some pressure should also be applied.. obviously not to the point where you're cutting your face though O_O
- Prep: Take a nice steamy shower
- Make sure to use the hot water to open the pores on your face and soften the hair, some like to use conditioner too
- In the shower still, lather up with a nice shaving cream. I like to use Kiss My Face scentless (note! scented stuff can irritate the skin!) Using KMF it will take a little bit of time (a minute or so, should feel kinda like yogurt and not look so liquidy) to get the lather to a nice consistency
- Shave with the grain
- Rinse face in warm water
- Lather & shave across the grain
- Rinse again
- Lather & shave against
- Get out of the shower after all the shaving, use cold water to close your pores
- Apply a soothing face lotion to re hydrate your face, as shaving generally takes it all away. Stay away from alcohol based stuff.. you know the usual skin care tips
- when you dry your face tap don't wipe/rub
YMMV though.. I find even when i'm being very careful it still is hard for me to shave two days in a row. Partially cuz I rush

I need to slow down and follow my own tips hahaha....