Sounds like something in your preparation is wrong. Even with a sensitive face it shouldn't hurt while you are shaving. Maybe some razor burn after until you get the hang of everything but not while. If so your razor isn't sharp enough you might be stropping wrong or may need a better hone done to it. Are you getting a good lather? Do you was/massage your face in the shower as part of your prep? Are you catching and pulling whiskers?

I'm far from an expert as I've only been doing this for a few weeks but even when I was figuring things out it didn't hurt when I shaved.