The most important thing begins when you're shopping for heels, and that is fit. No matter how high or low the heel, if the shoe doesn't fit properly, it will never be comfortable to walk in. For a long time I got blisters on the back of my ankles...because my shoes were sliding down, rubbing against my heel every time I stepped. I buy my heels a half-size down on average from my sneakers, because, obviously, I'm not wearing my chunky socks with my pumps. I find that buying a pair that feels just slightly too tight is the best way to go--like a pair of jeans, heels will stretch slightly to accommodate you as you wear them--so that I don't have any slippage problems.
Regarding heel choices, beginners might want to look into character shoes. These are specially made for walking/dancing/performing in, and can be a good intro to the world of heels. However, the soles are also made for use on a stage, so they can get pretty beat up if you wear them outside, and they aren't really "stylish" shoes.
Along with personal style preference, being careful about selecting the right make of shoe will be helpful in having a fun and fabulous heels-wearing experience. Obviously, newbies are going to want to go with lower heels, but you might also want a thicker heel (or even a wedge) for more support. I've found closed-toe shoes to be easier than peep toe; it might just be my monkey toes, but for a long time, peep toe shoes gave me the uncomfortable sensation that my foot was trying to jam itself out and make an escape through the open toe.
As for the actual act of walking, the most important thing to remember is to trust the heel. Your instinct (if you're anything like me) is going to be to put your weight on your toes, especially the higher the heel gets. Don't do that! You want to walk heel-toe, heel-toe, just like you do in a less exaggerated fashion when your feet are mostly level. Clomping around on the balls of your feet is just going to strain your calves, your ankles, and put you off balance. I promise the heel won't give out under you (or it shouldn't--definitely test the strength of the heel itself before you buy).
Don't be afraid to take as much time as you need. Keep your eye out for holes/ice/debris in your path -- a slight misstep in flats can turn into a wipeout in heels, especially if you're new to the game.
Do walk with purpose. I find that I walk best in heels once I hit my stride--shoulders back, posture perfect, heels clacking in a steady rhythm--like I've got places to be!
Don't forget to practice. I break in new heels by tromping through my apartment, doing my dishes, whatever I'm up to. Sometimes if I want to get used to the feel, I wear them sitting down (I've got the blue suede beauties pictured above on right now!)
Do pack extra shoes, especially if you're worried you might be walking longer than you can handle. I went to a stand-up show this past summer in Madison...and ended up looking for a theater on foot, because of a massive street fair that had shut down all the surrounding roads. I was wishing I'd shoved a pair of flipflops into my bag that night!
I hope this helps someone pluck up the courage to buy a pair of kickin' heels and take them for a spin! Any other questions? Advice from heels veterans? Share it below!