Personally, I wouldn't interfere at this stage as you could stress it out - make sure you have proper humidity - that'll help the next shed go smoothly and if the gecko hangs out in a recently misted area they'll clean their feet naturally pretty quick. The only exception to this would be if they have "club feet" of dried food or stuck shed, then a "forced" walk through some moist papertowels is surely in order.

PS Get used to this happening... and lots of tail drags through fresh CGD too. They can be very silly creatures.