You should always choose heels with thicker souls because that will ensure that you have enough ground to land your feet on. The ground will give you ample space to your feet and you will feel comfortable walking in them. Your legs can be hurt by thin soles because they put more pressure on your feet and dirt and other external agents can get into the legs and make your feet dirty and cracked.
I’ve heard people argue that my new, near-daily ritual is ridiculous, that no shoe is worth that much pain or effort. But how different are heels from other small rituals we undertake every day, such as applying makeup? The payoff in terms of the confidence I feel when stomping down the street in a pair of killer heels is worth way more than the extra 30 seconds added to my morning routine.