I have not tried this for shaving, but I don't see why it wouldn't work. I am a physical therapist, and need massage oil on occasion. I used to use a cheap lotion that I got comped by a drug rep. When I ran out of that, I got the store brand fragrance free hand lotion, but I didn't like how it left my hands greasy in a way that wouldn't wash off. A massage therapist friend told me about a concoction that she uses: grape seed oil with a couple of squirts of the hand lotion, mixed very imprecisely at maybe 10:1, 15:1. You have to shake it up each time you use it, and it looks absolutely disgusting, but I think it would give you the texture you are looking for. I got a little hand soap dispenser at the dollar store. Grape seed oil has no fragrance or flavor like olive oil.
I might just try that. I hate shaving and have very delicate skin.