I've always been a fan of the Classic High Heel Pump. You know, the ones with heels larger than 3 inches. One of my favorite things I like to do is very simple and easy. I take the High Heel Pump and place it on the floor. Then I lay down on it and place my balls where the heel of your foot would go and stick my penis into the toe box area. An easy rocking motion gets me off quicker than you can imagine. Cleanup is really easy since everything stays in the shoe. Hell, I've even visited people houses and done this and left my deposit in their shoe without cleaning up.
Sometimes, I'll even drive back and forth to work with one of the shoes in my pants with my penis inside it. I stay hard the entire ride (1 hour in each direction). I normally do this while wearing black pantyhose and 4-inch heels. Yes, I've had some truckers look at me funny, but what the hell. It gets my rocks off!
Now while I prefer the standard 'Court' type of Pump, I have tried some other variations. I've taken a High Heel Pump with a peep toe and stuck my penis in like I stated above. Only with these shoes, I lean against a bed or a couch. It's great to see the tip of my penis peeping out with each stroke. Cleanup is a bit worse with this method, so I normally switch it up near the end by inserting my penis into the shoe from the outside through the peep toe. Again, everything stays in the shoe. Sandals are another type I have tried, but I prefer using a pump style shoe because I like having my penis fully enclosed. But to each their own..
One last thing that I will suggest trying is a little more difficult and dangerous, yet safe if done right. I've have a really nice pair of 6-inch heels that the heel itself is round and starts off at about 1/8-inch across and slowly becomes about 1/4-inch where the heel meets the rest of the shoe. I have never worn them inside or out, so they are very clean. I have filed the rubber/plastic heel tip so that it has no sharp edges. What I do is place the shoe upside down on the floor and slowly lower myself onto it. I enjoy anal play, but I'm not into large objects. The size of the heel is small enough to not hurt, yet large enough to feel really good. I strongly suggest plenty of lubrication when doing this. I take the other shoe of the pair and place my penis inside. By moving the second shoe with my hand, I can simulate the feeling of laying down inside it. I then rock gently back and forth on the shoe on the floor that has its heel firmly implanted you know where. If I rock just right, I can stimulate my prostrate perfectly. This normally gives me a very, very powerful orgasm. Problem is that I rarely have any alone time to do this due to the wife and two kids. When you are done, cleanup is a little more difficult than my other methods. You need to make sure you really clean the heel that was inside you very well.
If anyone has some other methods for masterbating with high heel shoes, I'd love to hear them.