Some doll makers sculpt a shoe directly onto a doll's foot while the clay is still soft. To do that you 'draw' the shape of the shoe directly on the foot with a very thin needle tool (like a beading needle). The foot area is then slightly recessed to visually separate the shoe from the foot, then baked and painted.
Another way to make a clay shoe is to add polymer clay over a baked foot using the series baking technique. When making a shoe with a heel, you need to have a heel shape already on the baked foot. Starting with a baked foot with a heel makes it easy to add just a very thin layer of clay over all surfaces so your shoe will bake quickly. You can use any color of polymer clay so no painting is required.
This link will take you to a 4 page photo tutorial that demonstrates how one doll maker added polymer clay to form a shoe directly onto a hard foot: