Ok I'm new at this too but what I've found to work best so far is as follows;

With stubble on your head take a hot shower

Wash it well

Then try the Gillete Fusion Thermal Scrub, rinse with  hot water

Put a few drops of Shave Secret (shaving oil you can get at WalMart) in your hand and massage into your scalp

Then a good layer of decent shaving gel - I use Nivea, there are others that are just as good

While still in the shower ( the warmer you stay the softer the hair) use a good razor with a flexible blade -  a fellow shaver suggested Schick Extreme which I use and am happy with.  I've bought a Headblade and can see where it will be better but I haven't mastered it yet.

I shave against the grain and go slowly. I use a mirror for the front and sides.  For the back of my head I DO NOT use a mirror, I keep track of what's going on by feel.  Maybe there is an advantage to seeing things but for me the mirror image just makes it confusing.  Rinse your razor frequently - a dirty blade causes problems.

Afterwards rinse off and apply a mild shave balm if you want.

As I said I'm brand new to this but have had great results with this approach.  Was out tonight at a local casino and was a bit surprised when I got my first request for a head rub for luck - of course she was about 75 but a first is a first..

bdizzle, glockmeister has the right idea.  The razor you are using is fine, actually, quite fine  .  If you prep with a hot shower, the pores on your scalp will open up more and the skin will seem more soft.  This is good, so you can cut farther down on the hair.  For me, the Headslick works better than the Edge, it's more slcik and may allow you to cut closer, or something like that.  Whatever you use-slicker is better (just DON'T try 90 weight gear lube, or sythetic motor oils   ).  
 
Once you start shaving against the grain, you will notice a much closer shave too.  A lot of guys have different methods for completing the shave from cold water or ice cubes to close the skin pores, to various other applications (witch hazel, protective skin cream, after shave- ouch, etc.).  You may want to figure out what works best for you.  

Damn... all I gotta say is I tried shaving against the grain... and I definitely gotta recommend it! My dome is smooth! It definitely helps to eliminate some of that visible shadow, although with my dome there will definitely be stubble in a few hours.

You guys are right... Usually I lather up in the shower and shave afterwards, but today I shaved in the shower. Hard to tell if it made a difference since I was shaving against the grain as well. Only really concern was that I used way more water since I still had the shower running while shaving.

Back of the head is still a little bit tricky and I can feel where I missed a few spots, but I don't want to risk irritation and if anybody really asks what that small stripe of stubble is on the back of my head I'll ask them if they've ever shaved their heads before lol :]

I agree with you sailor61 that it's a bit tricky to use a mirror for the back of the head. I have to hold a hand mirror to the regular vanity mirror and it reverses my Left/Right so I have shave the back really slow.

I'm also going to say this... shaving in the shower left my bathroom incredibly foggy! lol

Try skipping a day between shaves every now and then. It seems that my dome gets smoother if the blades have something to grab ahold of and stretch out for cutting. Or maybe that's just an illusion?