Shaving is an art that is different based on your facial hair type. If you are black with really tight curly hair, you do not want to shave at all. Ever. As classy said, it grow back into the skin. Since I don't have that type of facial hair I only learned of it as well through boot camp in the military. So what classy says is right here.
As a white guy, I have different problems with shaving and facial hair. Especially since white people tend to have hair grains that grow in different directions everywhere more often. Meaning some hairs will grow down, while the hairs right next to it will grow up, and the ones next to that will grow sideways. I've seen some swirl patterns as well.
For me, I'm a bit strange. I can actually dry shave my face above the jaw line and even go against the grain. It doesn't bother me at all except around my lips. No razor bumps or anything irritating. Now below the jaw is a completely different matter. So I use two sets of razors to accomplish what I need. You may have to as well.
Also, if you do use a razor still, keeping care of the blades is a must. I have a jar of barbers alcohol that I store my blades in. Keeps down oxidation and keeps the blades lasting longer and sharper. Also dry off the blades immediately on a towel as well. Rinse blades with every stroke too.