Thick-soled shoe, it's said to shock in burlesque (3,4)

'thick-soled shoe' is the definition.
(ski boots have thick soles)

'it's said to shock in burlesque' is the wordplay.
'it's said to shock' becomes 'boo' ('BOO!' is said to shock someone).
'in' means one lot of letters goes inside another.
'burlesque' becomes 'skit' (burlesque can mean a sketch or skit).
'boo' placed inside 'skit' is 'SKI BOOT'.