It's relatively rare to being with, and I don't think anyone has been caught during a game. There was a kid at some national open in the USA (forgot which tournament) who wore ear warmers/earmuffs to cover up a small device he tried to pass off as a hearing aid. It wasn't, and was for communication, and he was banned.
D.P. Singh comes to mind, an Indian chess player -- read here http://www.chessbase.com/newsdetail.asp?newsid=3595
It seems to be gone now, but I remember looking up his friend's rating, also suspected of cheating Umakant Sharma where you see his rating suddenly jumps from 2300 (after being there for years) to 2500 and then goes back to 2300 the year his friend was banned for cheating.
But having a device in your shoe (or lap!) would we way too obvious, especially after your rating jumps and you're under closer scrutiny. I've thought of a similar way to cheat during a game with a modified piece of clothing like a belt that gives small electric shocks to indicate a square as you describe. It seems D.P Singh though, was even able to cheat in blitz. They had people watching him for signals to an accomplice in the room, and even set up barriers to block visibility, they searched him and his clothing and things... from what I've read it sounds very mysterious how he managed to cheat, obviously they wouldn't want other to know the specifics, but I've wondered how he did it.
If someone was motivated to do it right and had the resources to cheat I don't think they'd be able to catch you, although I think it'd take a lot more time and money than it's worth.
With today's technology it seems that it's not impossible for a chess player to cheat during an OTB game. It would not be necessary to involve a secret third party during the game, a tiny computer (such as an ipod touch) running the right software and most importantly the right input/output system is all the player needs in order to cheat during a game. The player could hide the computer in his lap or shoe and, with the right input/output system in place, enter each move using only 4 signals: initial rank and file, final rank and file.
For example, if the opponent moves the knight from b8 to c6, the player simply needs to tap twice to indicate the second file (b), pause for a moment to let the computer know subsequent input is for the rank, and tap eight times to indicate the 8th rank. The player would then pause for another moment in order to let the computer know he is done entering the initial position, and a few seconds later he would repeat a similar drill for the final position. He would then wait for the computer to come up with the next move, which would be broadcast to him using some type of rudimentary tactile feedback system, like a sequence of harmless electric shocks or gentle pricking of the skin with a small pointy object.
With the right technical expetise it seems that such a cheating system is far from being impossible to implement. I wonder if anyone has ever been caught cheating in a similar manner during an OTB game?