Let your facial hair grow out and then trim it as desired. When you shave, you are cutting the hairs and creating lots of sharp edges. Hairs that aren't cut have tapering tips, whereas cut hairs are squared off, so to speak.

Longer hairs are more flexible that tiny short ones (like those left after shaving), and hence not as scratchy. If you do go with a beard, use conditioner on it in the shower to keep the hairs soft and in good condition (seriously, it helps). The catch is that you will be extra scratchy until the beard gets about 5-7 days old.

Don't want a beard? Try mild facial exfoliation (too much will cause acne issues) before your shave, and use moisturizer every day (not just after a shave) to maintain the skin's smoothness. Some guys use Nair or similar products on the face, too, which is much less painful than waxing and leaves smoother skin than shaving, but Nair doesn't work well on thick hairs.