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Simple answer is yes. A Feather on setting 5 will behave a LOT differently than a Derby at the same level. What you are experiencing is normal. For that reason an inexperienced DE shaver might...

You can do what gooser did and start low and gradually work your way up. Seems wise to me :). If you have experience using a DE I would suggest starting in the middle - 4 or 5 - which will give you...