Try having it done by a
professional. It hurts less,
it works better. It also
costs more, but
there you have it.
If waxing is done quickly and firmly by someone who is not every moment cringing in anticipation of pain (since it's not their own legs they're mutilating), it doesn't have to be excruciating, although of course it's still less than pleasant.
That said, not everyone I know finds female body hair offensive. I have met several men (and women) in my life who much prefer the natural silky feel of hair on shapely shins.
If you've been shaving for a while your hair will be coarse - I would suggest one good wax job in a salon, and then it will grow back softer and less prickly, and you can just leave it if you want.