To get really, REALLY shining shoes, you'll need this: If your shoes are of a high quality, finely textured leather, skip part 1.
  1. If your shoes have a rough surface, use the sanding paper to grind the leather down to a smooth, even surface. You'll only need to do this once.
  2. Wash off dust and particles with the cloth under running, cool water.
  3. Take a bit of cotton and form it into a ball about 2cm in diameter. Dip it in water. Using the hot air blower, melt shoe polish and work it into the shoe with the wet cotton ball. Ideally, you should repeat this step until the leather is saturated with shoe polish. This prevents the leather from breathing, and makes the shoe a bit uncomfortable to wear.
  4. After you've worked a fair bit of shoe polish into the shoe, take a new, wet cotton ball, apply a small amount of Parade Gloss to the cotton, and polish the shoe with circular motions. Repeat, using alternately navy shoe polish and black parade gloss. This will give the shoe a deeper shine2.
  5. Once in a while, you'll want to use the hot air blower and melt in a small amount of shoe polish and repeat the last step for some time.
These steps should work on non-black leather too. For brown shoes, you'd obviously use brown shoe polish, but mixing in a layer of, say neutral colored or ox blood colored polish gives the leather that extra sparkle. Same tips apply for other colors: use a shoe polish that closely matches the color of the leather, and optionally mix in a different color for a deeper shine.

Naturally, this takes a lot of time, but you can get everything from army boots1 to fine Italian shoes to shine.

1: Yes, I've done it on my Norwegian M77 Field boots.
2: Sounds like a shampoo commercial, doesn't it?