Shaving can be hell on your legs, particularly if you have dry or sensitive skin. Rather than damage them by shaving, then slathering on moisturiser, why not moisturise while shaving and avoid potential damage?
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At the end of your bath or shower massage a small amount of coconut oil into your legs and shave with a sharp razor. Besides being incredibly soothing and moisturising to the skin, coconut oil has antibacterial properties. For a full leg workout, use a homemade scrub to exfoliate before shaving.