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If you have sensitive skin
Thread! Threading uses a string to remove hair and is a great option for those of you with delicate skin — even rosacea. While waxing tugs at the skin, threading barely has any contact with it, so it doesn't lead to irritation. Additionally, threading doesn't remove the top layer of skin like waxing does, so your makeup will stick to your skin properly and it won't lead to irritation if you're using a topical prescription cream either.
If you have coarse hair
Wax! If you have thicker hair that grows back quickly, waxing is definitely the best option for you. Not only do most people see thinner, softer regrowth, they can also go longer in between waxes since the results are fairly long lasting. There are a few drawbacks though: It can be expensive, it can irritate skin (but the irritation typically goes away after a few hours), and it can remove tiny (virtually invisible) hairs on your face that help makeup stay in place.
If you don't want to break the bank
Tweeze! Not only does tweezing give you a lot more control, it's also the most inexpensive way to maintain your brows. The most important thing to remember when plucking is to exercise restraint. Yes, you may want to pluck regrowth everyday, but be careful not to take it too far.
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At the end of the day, the best recommendation I can make to you is to experiment with all three methods. Everyone's body reacts differently to things, so it's important to see what works best for you. You may have coarse hair and find that you love the results threading yields. Or you may prefer waxing. Personally, I would love to wax my brows, but when I do I tend to breakout since I have sensitive skin, so I try to stick to tweezing. But, like I said, road test a few methods and see what you like best.