I use a safety razor. I use hot water (no shaving cream, soap, gel or foam). Thanks to Jeffrey Tucker's rant against the great shaving cream scam I am free from that awful product.
http://mises.org/daily/4043/The-Sh aving-Cream-Racket
I hate shaving cos it always fucks up my skin, but I might try this way and see if it's any better. I've just been using a Gillette Mac 3 since I was a kid, but I might go for a traditional razor and blades as apparently they're better, much cheaper and last a hell of a lot longer.
When you say that is messes with your skin do you mean that you cut yourself or it leaves bumps (or both)?
If you're getting bumps then a DE might help. I have sensitive skin but with good technique and the right equipment I get a much cleaner, less irritable shave.