I think they SMELL the shoe odor wafting out of the shoes when you move them.
Max used to be the absolute WORST about this--he would just work himself into a frenzy of wiggles and snerks and wuffles, pawing at your hands, untying your shoelaces and if you were foolish enough to be sitting on the steps--my parents have a sunken living room--he would even run up your back and jump off your head! Then Mom had carpal tunnel surgery 3 winters ago. She amused herself while she wasn't allowed to pick things up, (or carry them around or drive anywhere) by teaching Max to Get things--the phone, the remote, her book, a pillow, her glasses (he's very delicate about it!) and, of course, Shoes.
Teaching Max Get My Shoes has completely changed his whole walk behavior. He knows all Mom's shoes--and most of Dad's, my brother's, my sister's and my BIL's--and delights in finding them and getting them. The one thing you have to remember is to take your shoes off in different places--you take one shoe off and put it in the shoe box by the door, but wear the other around and take it off someplace else, out of his sight--in the bathroom, or the computer den or the bedroom. That way, he will bring the first shoe from the box, and you have time to put it on while he searches for the other one. Properly done, you're just done with putting on the second shoe when he returns with the leash.
Of course...the kicker to this is that you almost always have to have Max get your shoes--who can remember where you put the hidden ones? And of course, having brought you the shoes, you have to take him for a walk--at least to the mail box--before you can go anywhere.
