Hi, T.. It sounds like you DO have very sensitive skin. I do, too. You might be pressing down too hard on the razor, especially if the triple-blade razors give you the most problems.
I use the Venus razor, and only the Venus razor for sensitive skin. It's got three blades, but it has a very nice conditioning strip which helps trememdously. Make sure you do not press too hard or shave too often. Try putting a good lotion on your legs in between shaves such as Aveno or another one with aloe, vitamin E, etc. That will heal the skin in between shaves and also help to minimize the problem.
I also suggest using that lotion that helps to minimize hair regrowth -- I forgot the name of it. I've been trying to find it myself. My legs are quite hairy, and I'd like to make shaving a little easier if I can.
If you have sensitive skin, waxing will hurt just as much, if not more, so I advise against it. My Venus razors give me usually at least 4-5 shaves on my legs, and then I use them for my armpits where I'm even more sensitive and can't use a very sharp razor at all.
I hope this is helpful and that the problem goes away completely.
Peace,
Syl