It works very well against the grain. What I do, is shave with the grain first (down-ish), put on some more cream with the brush, and then shave against the grain (up-ish). Baby-smooth.
I've been thinking about going safety razor as we. Do you find that you nick yourself quite a bit more? Does it take a little more time?
I haven't been using a safety razor very long, but I've had very few nicks. The first two times I used it, I nicked myself in the same spot, the same spot I nicked with my Mach3 the day before. Besides that, I think I've nicked myself maybe once or twice, but there is some skill to it. It takes time to find a blade that you like, too. The biggest advice I can give is don't apply any pressure, and don't be afraid to take at least two or three passes to get a nice, smooth shave.
I will admit that it does take a bit longer, but not much. The biggest time increase for me since my Mach3 days is making lather with my brush. The actual shaving is quick, although you'll probably want to take it slow the first few times. West Cost Shaving sells a nice blade sampler pack and in their FAQ on their website, they suggest a good order for trying the blades. In my experience, it's nearly impossible to nick yourself with the first blade they recommend.
I also have to say that my parents originally kept me from going the safety razor route for a long time with their horror stories of using them back in the day. So far, I have no idea what they were talking about. The best comparison I've ever heard to describe a safety razor is that a cartridge razor is an automatic, a safety razor is a stick-shift. One's easier and takes less effort, but the other gives you a lot more control, even if you might grind your gears or stall a few times when you're learning. They're not for everyone, but if you want the control, it's worth it.