For maintenance/daily prevention, I am having good luck with coconut oil (the kind that is solid at room temperature). It seems to leave a nice barrier in place that keeps the skin from drying out, without feeling greasy/oily.
When things are already super-dry and cracked, though, you need more moisture immediately. I never had any luck with lotions, but pure aloe seems to just suck right in. Mary Kay also has an after-sun gel that my body just sucks up and that doesn’t seem to leave any annoying coating. I would apply one of those immediately after a shower, and then once it is absorbed cover it with the coconut oil or with an udder-balm-type thing.
Also, for areas like shins that you can easily cover, do a night treatment: goop your legs up with aloe, then (gently) put on knee socks and sleep that way. Then in the morning, do your normal routine. This was the only approach that fixed the cracks in my hands the year we moved to CO - just putting stuff on in the morning and throughout the day wasn’t cutting it.