Many Shimano road shoes allow you to use SPD cleats, but walking in them can be difficult to say the least. Shimano recommends using the SH-41 Cleat Adapters to give some support to the cleat so that when you step, the cleat doesn't come in contact with the ground, but rather the stable, grippy shoulders of the adapter. This also prolongs your cleat life. For a complete SPD setup on your SPD-SL road shoes, use the Shimano SH-41 SPD cleat adapters.

For attaching two-bolt SPD cleats to three-bolt SPD-SL shoes
Compatible with SM-SH51 and SM-SH56 SPD cleats
Includes two cleat nuts, two cleat mounts, four 9 mm length bolts, six 8 mm length bolts
11.5 mm length bolts cannot be used