Twice against the grain in the shower, go over the rough spots a few times against the grain, get out of the shower and switch it to cold water with just your head under the shower. Dry off and apply Aloe to your head. Mine shines every morning. then, as others have said, shadow by the end of the day (boo).
I admit that the longer I shave daily (I'm in my second month) the shinier it seems to get. Getting some sun on it the day before seems to help I'm not sure why.