Use a quality shaving gel instead of soap or traditional shaving cream. It contains more lubricants and can reduce the chance of irritation and nicks. After you apply it to your skin, allow it to sit for a minute to soften your hairs before shaving.

Razors
Use a quality razor. Cheap disposable razors can easily nick your skin. Buy a decent razor with replaceable heads, preferably with lubricating strips.

Proper Technique
If you have sensitive skin, shave with the direction of the hair. If you want a closer shave, shave against the direction of the hair growth. Be careful when doing this though as it can cause irritation and ingrown hairs.

Preparation
Before shaving, take a quick bath or shower to soften your hair. Don't soak too long though. You do not want your skin to prune.

After Care
You can apply lotion after shaving but do not apply perfumes or deodorant. They can irritate your skin which will be sensitive from shaving.

By following these simple tips, you should find that shaving is much easier and your skin is left less sensitive. If you still find that you can not tolerate shaving you might want to consider other hair removal methods like depilatory creams or laser hair removal.