Help???

Georgia
I shave myself regularly , but what annoys me the most is if I shave my legs in particular , the second I get out and go into my room they seem to have gotten hairy like spikey again in that couple of seconds? I've tried shaving more and new razors etc , but they just seem to be aaaalways prickly!!!!!! Anyone else have this problem? Ps. I've sensitive skin if that could be a reason?