yep... check out the Sub-Shop at
http://www.sub-shop.com/, good selection of locking cuffs and shoe locks, and much more.
And of course you probably already know of the Pleaser and Ellie shoes that offer locking ankle straps:
http://www.devab.us/servlet/the-13/b...s-boot-/Detail http://www.devab.us/servlet/the-546/8267/Detail http://www.devab.us/servlet/the-60/D...dsh-434/Detail http://www.devab.us/servlet/the-114/...sh-1023/Detail
...and maybe even a few more.
I've simply punched a slightly larger hole in the standard ankle straps to accomodate a small padlock, and looped it through the buckle or the loop on the heel. Your heels won't come off without ruining the ankle strap.