This is a common problem; I know there are some morphs for high heels and such to work, but for the most part the problem here is that the Walk Designer movements are based on the position of the actual foot, and ignore any clothing on it. I suppose using the CR2 editors to create a new figure with integrated shoes (defined as the lowest point on the figure) would be the best option. I'd check the animation forum here and at the PFO for pointers on this; I've seen it mentioned a lot, but can't recall exactly how to fix it.