ghost---here is my opinion, for what it's worth.
1) the ebay blades are often fake. ebay's had a serious problem with counterfeit blades and have tried many things to stop it. i myself bought a huge stock of them and found out the hard way--my head bled for hours, and i couldn't shave for days. i got my money back, but buyer beware---if the price looks too good to be true, it probably is. and you can tell the fakes if you compare them to the ones you bought from walgreen's--check the logos and serial numbers, because the boxes are often the exact same.
2) i tried to wax my head. my sister (who owns a hair salon) brought home a professional waxing station and we gave it a go. um, holy f#$king sh#% that hurt. i was willing to go through with it but we could only get about 1x3-inch strips off at a time, and it would have taken an hour or two, and it wasn't worth it. what we did get off didn't necessarily grow back uniformly, so it would look weird when i didn't shave, and i can't imagine that over an entire head. it grew back in about 6-8 weeks.
3) one way to extend the life of your blades, as one of the other guys mentioned, is to pour rubbing alcohol on them when you're done shaving. a bottle of that's less than a buck, and goes a loooooong way. trust me on this one. pour just a little on your blade when you're done, shake it off well, and leave it to dry. it kills all the bacteria on the blade (which irritates your scalp) and prevents rust (which, obviously, corrodes the blade). if you want to wipe the blades dry, fine, but rub downward i.e. not sideways or up against the blade.
4) i, too, have a sensitive head and get razorburn pretty much every time i shave. i also burn through blades fairly quick. i've learned to just kind of deal with it, but a few things that helped--the less pressure you apply, the better. let the blade do the work, don't push or pull. long, even strokes. i can't put anything on my head after i shave--lotion, aftershave, aloe vera, witch hazel--they all irritate the heck out of my skin. try an ice cube or cold water and nothing else a couple times. see what happens.
good luck--asher