First, invest in a good razor. Buy one that has five blades and a built in softener. Personally, I like using the Gillette Venus because it has read replaceable heads and it does a really good job. If you get a really good high-end razor in the $10-$20 range from any of the major brands you will find that it's pretty difficult to cut yourself.
When you shave, your skin has to be moist. You can shave in the shower with or without gel or, I like to use hand lotion when not taking a shower. The lotion moisturizes really well and gives a very clean and close cut.