Why are the children scared to walk shoeless?

If you're referring to the incident regarding the Misses Barber, your answer can be found in chapter 27. 
In that chapter, the children were afraid to walk shoeless because the county hounds were loose. Sheriff Heck Tate had rounded up the dogs to find the Misses Barber's furniture. Scout relates how some children played a Halloween prank on the Misses Barber: they transferred all their living room furniture to the cellar. Scout maintains that the incident forever changed how Halloween was observed in Maycomb.
The Misses Barber were said to be eccentric old ladies. They are deaf but deal with this disability differently. Miss Tutti denies she is deaf, while Miss Frutti uses an enormous ear trumpet to hear. When their furniture disappears, the ladies called on Sheriff Heck Tate to find the culprits and the furniture. They insist that bloodhounds should be used to locate the whereabouts of their furniture.
Mr. Tate puts the dogs on the trail, but the dogs end up barking at the Barber cellar door. In due time, Mr. Tate guesses that the furniture is in the cellar. While the dogs are supposedly out on the hunt, there is not "a barefooted child to be seen in Maycomb and nobody took off his shoes." 
So, the children are afraid to walk shoeless because of the hounds: it is far harder to outrun hounds on bare feet.