I must be doing something wrong because I never exfoliate my legs @ the time of shaving ??! BTW I've hit the roaring forties so it can't all be bad. Instead I exfoliate occasionally (when I remember) as part of an all-over body exfoliate. Sometimes I use a scrub but usually with a hemp or scrubby mitt from the body shop.

BUT the itching may not be related to the exfoliation/not exfoliation. Do you use a shaving cream/product? - they can be very irritating and drying. I just use a non-soap shower gel or a non-irritating soap, you only need the tiniest bit to lubricate the razor, and then I use the plainest low-chemical moisturiser afterwards (some of those scented body moisturisers like Nivea etc give me the itches something rotten).