First with and then against. Huge difference. Shave with and run your hand against the grain. Then shave against the grain and rub your hand against the grain. HUGE difference!
The less you can feel, the less there is to cause a shadow.
I've found the Jergen's Natural Glow to be decent - you just need to do your whole head with it in a fairly even coat. And make sure you wash your hands very well afterwards.