Speedplay Compatible Shoes

As mentioned above, adapters for 3 bolt shoes (and the cleats) come with the pedals or also with cleats when you replace these. I switched from SPD-SLs and think the speedplays are way better (for all the reasons you are probably considering making the switch!). 

Only one slight complaint from me, the cleats can start to make a squeaking noise if not regularly cleaned and re-lubricated. I'm 90% certain that this due to the adapters/shims when fitted to my S-works shoes.

I started off using the adaptors and they were fine once you'd got the position sorted.  However, I saw these Speedplay specific shoes with the huge discount and have been really, really happy with them.

http://www.chainreactioncycles.com/dmt-libra-carbon-speedplay-road-shoes...

It's worth noting that they jam up really easily is your walk on any kind of grit or dirt. Get some cleat covers\coffe shop covers and get used to using them. Stopping for a wee and then not being able to unclip at a junction is not healthy!

Just done this, allbeit from Deltas to S'plays.  Short answer - nothing needed, it's all in the box.  I like it, if you can handle the cost.

The adapt or adds a couple of mm to the stack height.  No big deal.  Unlike the double-sided pedals (which makes clipping in easier), and the free float (which helps the knees).  I'm a big fan, having used SPD-SLs for about a fortnight!

As above,  the cleats come with three hole to four adapters as standard.

DMT do or did a Speedplay only sole on some models. Northwave do a sole that can be converted to four bolt with a £10-15 adapter. My current set up. Both allow the sole to be closer to the pedal. That said I used the adapter setup for over 10 yrs with no issues. 

They come with shims to adapt to virtually any sole profile - I’ve used them with Shimano and Lake shoes without any issues. Not a massive range of dedicated Speedplay shoes and they tend to be pricey and in limited sizes. If you don’t find the fit quite right you can get additional adapters that can move the cleats even further forward and backwards if you need a more extreme set up. Again, these work with the shims from the box. 

I’ve been using Speedplay pedals for nearly 10 years and I think they’re brilliant. If bloody expensive. Buy spares and servicing kits from eBay rather than official channels.