Try an athletic insole
Since shin splints often arise as a result of excessive pounding, a padded insole placed inside the shoe may help soften the blow as your foot lands on hard ground.
Choosing an Athletic Shoe
A good athletic shoe is an important investment for anyone who runs or does aerobics. Wearing shoes with worn-out or poorly cushioned insoles only paves the way for overuse injuries, such as shin splints. When shopping for athletic shoes, look for a good fit (with at least a thumb's-width of room at the toe and the heel held firmly), good cushioning (especially in the forefoot, for an aerobics shoe) and extra-supportive material on the inside heel-edge of the sole.
Runners and walkers should replace their shoes approximately every 500 miles; aerobicizers every four to five months.