YOU don’t. When you BUY the shoes, the sales clerk removes the anti-theft device. If they forgot, you take the shoes and the reciept and let them remove it for you.
If for some reason you cannot return to the store for the sales clerk to remove it, there are various methods to remove the different kinds of devices. Usually the method will require either a strong magnet or power tool like a Dremel rotary.
If the device is the kind that has a plastic disc with a small dome on the top of it with either a pin or ink casing on the other side of the garmet use this method: http://blog.andrewwatters.com/tag/
But be very cautios if your device is the type that containks permanent ink!