Wait for a minute or two and then shave. But here are some ways around it. If you get underarm pain, it might be from antiperspirant applied after shaving. It might be better to shave underarms at night, so you don't have to apply antiperspirant right away. Shave the way your hair grows.
Most men shave against the grain, thinking they get a closer shave.
You should always shave in the same direction as the way your hair grows. It's always better to use short strokes. You'll get just as good a shave, with a lot less irritation. You don't need an antiseptic on your face if you wash it regularly. Women tend to do this after shaving their legs, but most men don't, because they think the fragrances of their wife's brand may be too feminine.