My advice... don't shave them with a razor. You'll probably end up with a lot of ingrowns. Especially if you wear pants/jeans a lot.

I've dated a couple of guys that will trim their upper thighs though. Arms too. They simply use beard trimmers or clippers with variable attachments, and leave a little bit of length there. That way, you can decrease the amount of hair you have, but you won't risk getting the ingrowns, or have that half and half look that you'd get with fully shaving your thighs.