Your feet expand over the course of the day. Buy your shoes late afternoon. Don't forget width. While standing, look at the bottom of the shoe. Make sure the forefoot width matches yours.
"If they hurt in the store, they'll hurt on the dance floor"
Try wearing new heels walking around the house on carpet. If they are still uncomfortable return them.
Wedges and platforms:
If you wear heels daily, keep in mind that a four-inch heel with a two-inch platform is technically only a two inch heel. This will give you the desired look and feel of a much higher heel with more comfort.
"Shoulders down and abs in".
If you can't maintain your posture or walk properly, they're too high.
Arch supports can keep your toes from curling. Try over the counter devices or custom orthotics specifically made for that fabulous pair of heels.
Pumice callouses so they don't build up and cause painful blisters and skin fissures.
Moisturize the bottom of your feet nightly, avoid between the toes. Keep that area dry.
Stretch. Your Achilles tendons can actually get shorter if you wear heels every day.
Stand facing a wall with your hands on the wall at about chest level. Place one foot in front of the other, toes facing forward. Bend the front knee and keep the back leg straight. Push the back heel towards the floor with gentle consistent pressure. You should feel a comfortable stretch in your calf ( Slide straight leg back for increased stretch), hold this position for 15 seconds, then switch feet and repeat for 3-4 minutes.