From our friends at eHow:

Since walking gracefully in high heels requires balance, you need to
make sure that the shoes fit correctly. A shoe that doesn’t fit can
lead to all sorts of problems, including calluses, corns and falls.
When you try the shoes on, you should take a minute to test the fit.

Step 1:

Put the shoes securely on your feet. Try on the shoe just like you would wear it. This means putting both shoes on and securing any buckles.
               

Step 2:

Walk across the room. Once you have a pair of heels on your feet, you
need to walk around a bit in order to test the fit. A shoe that feels
comfortable while you’re sitting down may be painful to walk in.

Step 3:

Turn around. After you walk in a straight line, see how the heels feel
when you make a quick turn. Your shoes should not give at all when you
make the turn

Step 4:

Examine the way that your feet feel in the high heels. Determine
whether or not you feel any pain or discomfort in your heels or toes.
In addition, once you take weight off the shoes, your feet should not feel sore.
               

Step 5:

Check if the high heels stay on your feet. If they stay secure while
you are moving and feel comfortable, then you have found a good fitting
pair.