Actually, I don't think there is any scene in any of the two movies that show him wall-crawling with his normal (Peter Parker) shoes on.
In the first movie in the scene right after he gets his powers and is climbing up the wall for the first time, it seems as if it's only his HANDS that are doing the sticking and he just puts his feet into the crevices (sp?) between the bricks (he's strong enough to pull his whole body up with just his hands, so even that was unnecessary).
If you're talking about how he does it in costume, then I think there's the assumption that the material is thin enough (or has openings for those hair-like things in the movie) to allow him to stick to whatever he is sticking to.
It's been a while since I've watched the 2 movies (
), but I can't recall any time other than perhaps that scene in the first movie! If you can list another one, I might have an explanation if I see the scene again. Otherwise, I hope this explains it!