To add to Serrin's remark, I might not claim that high heels are comfortable, as some dear friends of mine do, but that is not necessarily a mark against them. Formal dining chairs are not the same as lounge chairs, and as a result one does feel differently sitting in them. Fragile wineglasses mean that one drinks differently than one would from unbreakable plastic. So there is also something enjoyable in the artifice, I think. You are aware of your body wearing these strange things, and so it is natural that you are more open to other people being aware of your body too, and consequently they are very useful for "being feminine."
Perhaps someone who had to wear heels all the time would feel differently. This is certainly not my situation, they are special-occasion shoes for me.