Being someone with stupidly sensitive skin (especially on the face) I've learned (on here mostly) that the best thing to do is buy a nice expensive razor lol. I used like 8 razors before i ended paying the 40$ for a Gilette Fusion Pro Glide razor and extra razors, as well as 3 cans of this shaving gel called Coochy Cream. A good razor goes a LONG way, and try to stay away from pressurized shave gels (from a can) because the chemicals in them are bad for sensitive skin. After trying everything from Barbasol to Aveeno-expensive-as-hell sensitive skin shave gel, nothing works better than Coochy cream.
Don't go cheap on the face-shaving products, even buy the good after shave (if you need to ~ after using my gillete fusion pro glide with the coochy cream, i get little to no irritation and barely ever do I get knicks or cuts) Continue to do the hot towel or hot water thing because it opens up your pores.
If by some miracle, all of this is working for you (assuming you haven't tried it), the best way (for my experience at least) to get the CLOSEST shave is to lather and shave down, and then lather and shave up.
I also bought this machine that someone on here (who's name escapes me currently) recommended, called the Seiko Clean-cut Shaver.... you can literally use it around the time you start getting a shadow and it trims the tiniest hairs on your face. I literally can go 2-3 days without shaving my face again because of the current trifecta of Expensive razor, Quality shaving lotion and the clean-cut trimmer.
It also helps to tighten the area you are shaving (you probably know that already but just incase you don't) stretch out your neck or your chin or whatever. I've come to learn that the chin area and under the chin are the most troublesome spots to shave because the hair there is like freakin' fiber-wire.
But anyway, hope this helped ^_^
As for make-up. My skin is pale and my facial hair is DARK, so shadow for me is almost always visible. I use Mac Full-Coverage foundation. Its MAGICAL. Takes a bit of a while to apply but its so worth it. The cleaner/closer you shave, the better the foundation covers up the shadow.
Also, don't rush it unless you've become use to shaving (properly). Take your time and be patient and know your face's limits. I was in culinary school straight out of highschool before even knowing myself, and i had to shave EVERY DAY, and no matter what I did it was never short enough and never pleasant. I use to DREAD shaving my face with a nightmarish fear, but now I do it no problem
If you wanna make it easier, use a regular trimmer on your beard to shave it all off, then use the cleancut shaver to put it as low as you can without using a razor, and then use the razor. Because your hair is shorter and lessened, it will hurt less. But as i said before, a good razor and a clean blade goes soooooo far, i almost cried the first time i shaved and it didnt even feel irritated xD
