I’ve been shaving my sensitive bits regularly for about two years. I used a pair of small scissors first to trim it as close as I could (be careful!) before actually shaving, although I’m sure a beard trimmer would work just fine if you have access to one.
You’ve gotten some pretty good advice so far, so I won’t go through all the steps, but here’s a bit of personal reccommendation. I like the Skintimate shave gel stuff the best, the regular foamy stuff doesn’t seem to lubricate as well and the baby oil one leaves my skin nice and soft and baby powder scented, which I like. I use the Venus razor, it’s got disposable cartriges which I change about every week and a half or so, depending on how often I shave.
It grew back pretty slowly at first, but now I’ve gotta do it maybe twice a week to keep fairly smooth, every other day if I want zero stubble. It grows in pretty soft, so I never get “stubble” per se, at least I don’t find it scratchy or irritating, and neither does Mr. Armadillo. Interestingly enough, I never have had problems with razor burn, or it itching as it grew back in, so YMMV on that issue. It may have something to do with keeping moisturized, I dunno. I use a very gentle, organic type lotion, anything that contains a lot of chemicals and funky stuff makes me itch.
Take a hot shower or bath first, to soften the hair and skin and open up your pores. I like to exfoliate with one of those scrubby thingies to loosen any possible ingrown hairs and prevent them from happening, and then do it again when you’re done for the same reasons. Go slowly, and be very careful. Nicks and cuts in this area are Not Your Friend. I’ve gotten pretty good at it and can do it very quickly–far more quickly than Mr. Armadillo is comfortable watching 
.
I’ve never tried waxing, as I’ve yet to be comfortable with the idea of hot wax in that area, and some stranger poking around my bits and ripping hair out, although it would be nice to not have to shave so often. It’s really not a big deal though, takes me just a couple minutes in the shower. Until you get used to it, you may want to do it at the sink with one foot hiked up on the edge of the counter. It makes it easier to see, reach, and stretch the skin around.
Good luck!
Peace,
~mixie