If you have a good prep routine going - lots of hot water to soften the beard. Then, as mentioned it is the blade and your technique. Connaught Shaving offer a blade sample pack <!-- m --><a class="postlink" href="http://connaughtshaving.com/samplepack.html" onclick="window.open(this.href);return false;">http://connaughtshaving.com/samplepack.html</a><!-- m -->. The top sample pack would be a good one to start with. Use whatever blade make you start with, stick with it for two weeks - this will give you the time to learn which blade is best for you.
If you are using the Futur I think you said you'd bought, make sure it is set to a mildish setting. Alot of blade exposure and the bad technique action will give you a sore fizzer. Is the Futur your fist DE razor?
In the meatime, aloe vera gel or a moisturizer will help a little.