So, I recently made an average pair of shoes. Unassuming and functional you could call them. Also, awkward and homely, but that's not important. If anyone else wants to make all-purpose cosplay shoes, I will now show you how.

1. First, you'll need a real deerskin, which you can obtain by shooting your own deer and sending the hide off to a tannery. I suppose you can also just buy a deerhide or squares of leather too...
2. You'll need a template, preferably wood, of your shoe size, so trace one of your less ergonomic pairs of shoes onto a block of softwood, and cut that out (you only need one)
3. Using the template, cut out two blocks of foam (you decide thickness, though 1/2" min. recommended) and two patches of leather. If using a real deerskin and not fake leather, be sure to put the rough side on the outer part of the shoe, so you have some traction.
4. Cut a long strip to go around the perimeter of your shoe, you can measure the edge of the template to find out how long it needs to be.
5. Now, get a hammer and some nails ^.^ You'll need to hammer starter holes into the leather before sewing into it, since it is too hard for needles to penetrate. Do this, all the way around your shoe base with the side strip you cut overlapping on part so you can sew them together easily after you nail the hole. Any sort of thread will do for sewing, but normal cotton thread works best.
6. Turn the shoe inside out once you sew the leather up and it will now be in the proper form of a sole. Insert the foam shape you cut to see if it fits. Remove the foam.
7. Now, the fun part. Take whatever fabric you want, whatever color you want, and sew it in such a way that it will cover your foot and give you heel support.
8. Turn the fabric shoe covering you just made inside out, and sew it to the side of the sole from the bottom, so that when you turn it rightside out it forms a shoe.
9. Sometime during all this sewing, it would be a good idea to cut out 2 pieces of fabric in the shape of the sole, it doesn't matter if the fabric is the same or different than the shoe part itself. Glue, staple, or otherwise attach one of these cutouts to each of the foam support shapes. This will keep your foot from getting super sweaty and foamy.
10. Now that you've got your basic shoe, insert the foam support which should snuggly fit into the leather sole. If not, you messed up somewheres, but at least foam can be shaved down easily.
11. Get your glue, which I hope is tanner's glue, cause anything else will mess up the leather, probably, and squirt some globs down between the inside of the sole and the bottom of the foam support piece, and then push the foam back down, squeezing out the glue so that it covers the bottom of the sole uniformly, more or less. This will prevent slipping and keep the sole and foam in place when you walk. Depending on the size and shape of the shoe you made, you might also need to glue some of the sides of the sole to the foam so they don't puff out.
12. Finish any sort of attachment mechanism you want, like shoelaces, buckles, straps, etc. Just be sure you have a way to keep the shoe on your foot.
13. That should be it. Remember to keep the shoe size as small as possible so that it is unobtrusive, unless you want to look like you have bigger feet, which I suppose is useful in cosplaying sometimes too. Whichever you want. That's basically how you make a shoe. Or at least, that's how I made a shoe...