Don't do the same area repeatedly. Get a safety razor so that it's cheap to install a new blade (.05¢), and change blades every 3rd shave. Soften your facial hair with hot water. Use a high quality shaving cream and brush. Pass over each part of your face only once. Shave in the direction of your hair growth, not against it. Use a good facial moisturizer when you're finished.
Expensive? My friend, buy a safety razor and you'll spend $6 on 25 blades that'll last you 7 months, if you're shaving every day and changing the blade once a week.
This is the razor I've used. I'm sure there are better ones out there, but this one has adjustable blade support for different skin types. I bought a pack of 100 German blades.
And you got the fancy expensive blades. Feather blades are fantastic and you can buy a box of 100 for like fifteen bucks. They're a bit too aggressive for me, I like Derby blades, but I wouldn't really recommend them (also I'm not super impressed with their quality control, I keep finding dud blades).