Try the Replacement Theory
Replacement theory is a way to keep your puppy from chewing on inappropriate things. Remember, he doesn’t know any better.
So when you catch him with your shoe, interrupt your puppy, take it away, then replace it with dog toys that your puppy is allowed to chew on.
You should also remove temptation by puppy-proofing your home. That way, your puppy can’t get ahold of objects they should not be chewing.