OK, opening myself up for ridicule here, but i have done it before, in fact I have done it before each IM distance race.
It might not make a difference to your times but it feels like it does, you seem to swim quicker and ride quicker, might be all in my head but I recon if it feels quicker then why not.
I do it with the hair clippers first, then use hair removal cream like veet, then keep on top of it for week with a razor.
Mrs SA doesn't like it, she says its like sleeping with another women, how she knows this I don't know