To some extent your face will toughen up when shaving with a straight. I can remember how a DE would burn my face, now after shaving all the time with a straight a DE doesn't even faze me. Try buying a few razors off of ebay and practice with them and or get a shave ready razor from a member to compare with.
I highly reccomend the later, just so you can tell if it is you or the razor. From then on by all means do it yourself, you have all the tools. PM me and I can point out a few ebay razors to practice your honing skills on. You might find that you could get your best shave with one of them.

Glen