How to shave properly?

I have very sensitive skin and almost always get razor burn/bumps as a result. What can I do? Am I shaving wrong? What direction are you supposed to go in for different parts? Are you supposed to pre-soak, or just lather up? I'm sure I sound like an idiot, but it's never too late to learn things, plus no one told me how to do any of this. I had to learn it all on my own. Advice please.