I tried shaving for a couple weeks and did waxing once. I liked the feel of my legs, but it just didn't feel "me". At the end of the day, I've decided that if I am willing to go outside the norm and wear heels I may as well do it with my natural hair. I'm already transgressing one societal norm, so why be concerned with shaving my legs if it really isn't my thing?
At the end of the day, do what feels right for you. If that is being bare, just be prepared for upkeep. If not, maybe buy leggings or something else to cover the hair when it just doesn't work with an outfit. :-)