This is designed particularly for city-dwelling ladies (or adventurous men). It slips over the tip of the heel to protect it en route to your final destination. You can apparently buy these for $10 from a number of places. Take that Big High-Heel Protector!

They're designed for heels with a roughly .45" square tip (the test pair they were designed for - I don't really know what other sizes are out there).

Now updated to be slightly rounded on the rear/side edges, to decrease scuffing.