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Andrea, you need to be careful. Do it gently, don't push the razor in. This isn't like shaving your face: your legs are a lot more sensitive. I personally don't use any but have you tried using shaving cream or shower gel or even something designed for this purpose (I think it may be called Silky Smooth or something) to ease the passage of the razor?
Also, you want to stretch the skin of your legs as you're shaving, and shave against the hair growth ideally (though I go both ways). Do you use a normal razor, ie the one you use for your face or another one? I'd recommend the Venus range or something close to that.
Apart from that I can't help. I'm sure there's a balm you can put on your legs afterwards that would help with razor burn. Is this the first time you've shaved them? How far down do you go? Do you shave anywhere else --- bottom, shoulders, chest, arms etc?)
Hope I've been of some little help.
Stacey-Lynn