It should also be pointed out that even with a good sharp razor, your first few shaves probably aren't going to all that. Not to say the experience won't be satisfying, but it takes time and practice to learn to shave well with a straight. If it was easy, a lot more guys would do it. Have realistic expectations, patience, and enjoy the whole process of learning and shaving.
I'll step down from my soapbox now :p
Jordan