I was thinking there was something in the books about this subject, and I found a reference. When the Three Hunters were following the Uruk-hai, hoping to rescue Merry and Pippin, Aragorn spies hobbit prints.
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[Aragorn] ran quickly to the right, away from the main trail; for he had seen footprints that went that way, branching off from the others, the marks of small, unshod, feet.
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TTT The Riders of Rohan
So, unless the Orcs had some use of their own for hobbit-sized boots, I think we can say that those in the Fellowship were barefoot.
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Originally Posted by Aganzir
It's obvious that Tolkien never walked barefoot in snow though. It's incredibly cold, and if the snow is hard at all, two steps might scratch bleeding cuts on your feet.
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I know! Those "natural, leathery soles" must be more like Pirelli radials.