If you're getting shin splints I would see a podiatrist or at the very least a Physio and get your gait properly assessed. They can then advise what type of shoe would best suit you - not all 'supportive' shoes are the same and everyone has a slightly different foot type.
Training in the wrong shoe can cause massive problems down the track. Talk to anyone that's ever had plantar fasciitis/heel spur/fracture which will all put an end to your boot camp (and cause you a lot of pain) potentially for months.
I would also exercise caution using those foot pads at athletes foot etc. They're shop assistants trained to sell you shoes, not health professionals.