I have found that setting \widowpenalty=10000\clubpenalty=10000 in the main document has not prevented widows and clubs from appearing occasionally in footnotes in a long and complex document I am working on.
I eliminated those widows and clubs by adding the same commands to a new command for creating footnotes:
\newcommand\footy[1]
{\footnotemark{}%
\footnotetext{\widowpenalty=10000\clubpenalty=10000\relax#1}%
}
but it seems to me that this is rather wasteful since it calls the two penalty commands over and over again. Is there, instead, a pair of commands that specify widow and club penalties for footnotes, and that only need to be called once?

\relax. Otherwise consider, what happens, if#1starts with a number. – Heiko Oberdiek Aug 6 '12 at 3:26