It could be your aftershave that irritates your skin as well. Sensitive skin plus alcohol in the aftershave is a great recipe for irritated skin, no matter how often you shave. I personally don't like or use splashes and use balm.

I shave every day and have had to for the past 12 years while i was in the military. I look forward to shaving now ever since i started wet shaving with a proper razor as my skin is now smoother and I no longer have any skin irritation.