For sandals, I have not had any serious problem in size, but high heel pumps do matter in size.
I usually wear US women's size 10, and order sandals at that size.
But for > 4 inch heel pumps, I added 1 or 2 size. Also, I found that I have better order wide size.

Size 10, 4-inch sandals from Payless shoes
Purchased at 2004, and abandoned last year. Very comfortable to walk.

Size 10, 4-inch striped sandals from
amazon.com No longer available as I purchased in 2004. Not comfortable to walk.

Size 11, 4-inch pumps from
http://www.pierresilber.com/I had to order size 12 or wider ones. Too tight. Virtually impossible to walk outdoors.

Size 10, 4.5 inch heel sandals
Tight in the toes. Not to comfortable to walk.
barbie~~