Whenever I would get a splinter in my foot as a girl, I'd use a needle to tear away some of the flesh round the splinter so that it would be easier to get. I found that method to be best, as tweezers seemed to push the wood or glass further in. On the occasions I couldn't retrieve the foreign object, my father would tell me my body would eventually dispose of it on its own and whether that was true or not, I never got an infection.
Don't worry over it too much unless it causes pain, assuming it is a small bit of wood that's got itself lodged in your foot. Still, it seems best that things don't remain stuck in a person's body, so perhaps you should go to a doctor anyway.