An article in today's Palm Beach Post reports that a woman used her high heel shoe against an assailant. Read here: http://www.cbs12.com/news/cid_4711324___article.html/mother_child.html
I've heard over and over again by well-meaning self-defense instructors and law enforcement officers that women should wear "sensible shoes" in case they need to run. From what I've seen, very few women pick their footwear for safety reasons. I think most women also believe they'd be hard-pressed to outrun many assailants, regardless of footwear.
Rather, I believe a more useful suggestion is to know how to use what you've got. Acknowledge that you won't break any speed records in high heels, but if you have to wear them at least know how to quickly slip it off and what soft squishy targets to aim for.