I’m strangely obsessed with hair removal, as will be evidenced by the bizarre number of comments I have on this topic.
I would not recommend shaving after soaking a tub. Your skin will be slightly puffy from having absorbed the water in your bath, and two things might happen – first, you tend not to get as close of a shave, since not as much of the hair is exposed to the razor. I even notice the difference between shaving at the beginning of a shower as opposed to the end. I think it also makes the skin more easily irritated by the razor when it is in this puffy state. However, I see that <b>Alice</b> finds the soaking method better, so you may want to give it a try just to compare the two.
You might find an improvement if you use the exfoliator after you shave as well. (Not immediately after, but the next day). Actually, I think most exfoliators give you the most benefit if you use them regularly, and not just before shaving. If it hurts when you exfoliate, then you are probably doing it too hard, or using too harsh of a product. It takes some time to build up to rigorous exfoliation. You want to start mild, and work up from there.
Is your skin dry in general? You might also want to use lotion (gawd, I sound like the Hannibal Lector of skin care) daily. You won’t see immediate results, but after a while of this routine, you might find it helps. I think the best “product” is an actual aloe plant. You can keep aloe or other products in the fridge rather than the bathroom so it literally “cools down” irritated skin.
Finally, some people with extremely sensitive skin do better if they only shave in the direction that the hair grows. You will not get as close of a shave doing this, but if you shave this way more frequently, it should still do the trick. I’ve found this especially helpful for the bikini area.