Your inclination that shooting themselves in the feet seems strange is borne out by this ngram. It exists, but very rarely compared with the alternative.
It seems that shooting oneself in the foot is such an idiom that it does not lend itself to pluralization, especially since when talking about one person it is virtually always singular, and pluralization might confuse.
By contrast, the concept of getting something into one's head, when referring to multiple people does seem to prefer the plural, getting it into their heads as shown in this ngram.
This might be explained by the fact that each person only has one head, and no confusion is likely.
But the phrase hit themselves in the head seems to only take the singular, as shown here.
When discussing raising their hands to vote (which is done with only one hand each), the plural seems to be always used, as shown in this ngram, even though it might be misinterpreted to mean two hands up (as in I surrender).
If there is a consistent pattern, it seems that when an article is used before the body part, the singular prevails, even among multiple actors. When a possessive determiner or reflexive pronoun is used, the plural usually takes over.