Since I posted originally, about 25 shaves ago, I've definitely improved my technique. I am applying less pressure, and I know my face much better.
A new lightweight razor is helping too, I definitely feel I've found the one!
To answer your question though, I tend to use blades that are known to be aggressive - Feather, Gillette Nacet and Vokshod. I've been mixing these up of late and I am not sure which is my favourite, I am just enjoying all three and seem to be getting good results, better than I was before I posted.
I have started using a pre-shave oil too, for some of these shaves. I am not sure if it's making a big difference. I *think* the times I use it I get a better shave, but it's not conclusive. I often find it a bit tricky to get out the bottle, so sometimes (when in a rush) I just leave it. I was considering trying some Geo F Trumper Skin Food, but I've bought enough gear for now!
I have yet to try blades that are known to be milder, but soon I will just to see the difference.