Hmmm, it could be technique - it sounds like you are giving yourself razor burn of some type, so maybe try not putting as much pressure on the razor, go slowly with fairly short strokes (don't try to go all of the way up your leg all at once) and shave regularly to get your skin and hair used to it. I do my legs everyday, mainly because my hair grows fairly fast and so I don't have to be as meticulous about not missing any bits.