I'm going to go against the grain and say go with waxing.  I've been doing it for over a year now and the hair grows back slower, finer, and thinner the longer I do it.  Your legs are also smooth, COMPLETELY smooth for at least a week before it starts growing back.  It's more of a hassle the first few times, but then it's well worth it.  I'm not going to lie to you, it's painful, but you get used to that after awhile too.  And I save tons of time not having to shave.

My suggestion, go to a salon.  I couldn't do it at home, but at the salon they do a better job and for some reason it seems less painful.

First off shaving your legs doesn't add or remove enough resistance to mater in an open water swim, so set all that malarkey aside.  What it does do is raise your adrenalin level because of the heightened sensitivity to all touch, especially water.  That is the true benefit.  Any one who has done it can relate to the amazing sensitivity gained at first exposure.

So a couple of pointers if you proceed.  First use a razor it removes dead skin too and increases sensitivity.  Second do it just before your race so the reaction is fresh.  Next shave anything not covered by a suit, but NOT your eyebrows, it will mess up your vision while swimming.  Head too if you have the courage.  Finally don't do it regularly or it looses the effect. 

This is a swimmers point of view as a former D-1 All American.  Good Luck and the other comments are right too, I met plenty of girls who loved the whole shaved down thing, so get some help from an experienced person with a razor it may save a cut or two.

YES!

Leg shaving has several advantages to any athelete besides

just looking good and feeling good:

- In land based sports such as cycling or running during

hot weather, the body cools itself by the evaporation of sweat. If your body is very hairy as is the case with your

testosterone infused male athlete types, a lot of sweat is

wicked away from the skin. If the evaporation takes place away from the skin, there is little to no cooling effect and the sweat just dehydrates you for nothing.

In a long race this might even mean the difference between finishing or not!

-If you partake of regular massages for the many benefits

it provides, a hairless surface makes for a very fluid and

painless massage. ( There is little pain when oil is used

any way. Less oil is needed to obtain the other effect when its time to wash off)

- When swimming there is a reduction of drag when hair is not present. Due to the low vicosity of air this is not really a concern to cyclists or runners as any effect would be too small to make the effort worthwhile.

- As cited by most cyclists cleaning up scrapes and pulling bandages of goes much better without hair though

its not likely to prevent infections.

- If the game takes you through the woods or brush you might not see the ticks you pick up with a fur coat on.

- Did I mention that it looks good! Many women really like

a guy with a full body shave because it looks cleaner and

adds definition. Those who initially react adversely (some think of Mr Biggles)gradually warm up to the look and feel as the initial strangeness of it wears off.

There have actually been studies to back me up on this.

Is it necessary?  Absolutely not.  Do I do it?.... of course, and there is only one good reason.  So you don't look like a newbie!    Have fun...

An added value... if you use a COMPEX, shaved legs help ! You will be able to use your stickies more time.

This is the best explanation of leg shaving I've ever seen!

http://www.fatcyclist.com/2005/08/08/why-do-cyclists-shave-their-legs-warning-disturbing-images-ahead/