First, make sure you are using the correct angle and short strikes, not long ones like cartridge razors. You have to learn to shave with a DE. Also, some blades are much sharper than others. I like Feather blades but they are very sharp and I usually nick myself with them. I like Derby blades. Not as sharp as feather but I don't typically nick myself with them. Try a website like westcoastshaving.com where you can order sample pack of blades to try out. I usually change my blade every other week. I got 100 pack of Derby blades for around $20.
I don't use the DE on my head because I was cutting myself and getting razor burn there.