Actually, don't like to dance in heels, but I do like wearing super-high heels when I go out. I have very weak ankles, and I find that buying the right shoe for you is critical if you don't want to sprain them. Here are some guidelines I find useful -
1. Make sure that the curve of the shoe fits the curve of your feet. If there is space between the arch of your feet and the shoe - don't buy it, no matter how pretty it is! It will hurt you.
2. Make sure the shoe hold your feet well - your legs shouldn't slide inside the shoe, and when you lift your leg from the ground the shoe should hold firm and not be wobbly.
3. Put the shoe on the floor (don't wear it), and try to rock it sideways - how easily does it fall? It shouldn't. Is the heel aligned at the center of the shoe (look from the back)? Repeat with other shoe, they are not always completely identical.
4. Now wear the shoe. Is the heel aligned with your ankle (look from the side and the back)? Try to press the leg sideways, see if you lose balance to either direction. Repeat with other shoe - the shoes and legs are not always symetrical.
If steps 3 or 4 fail - don't buy the shoe, you are likely to sparin your ankle in them.
5. Make sure you have enough space for your fingers, and that the strap that is holding them is firm and is holding your leg well. Prefer wide straps - if you do lose balance, your fingers may slide out and it's painful (true story).
6. I find that for walking (I don't know about dance), it is helpful that the sole of the shoe and the heel have good grip.
Some other things -
Practice walking with your shoes at home. I used to go back and forth in my living room until I got it.
Watch your posture - streight back, tummy tucked, head up, shoulders down. Like in dance - you have to keep your balance and you can't do that if your upper body is swaying like a noodle.
That said, I find that letting my hips move from side to side as I walk helps me stay balanced and looks better.
And have fun with it, high heels rock :)
