moon,
I had never done this myself, so I had to figure it out. Go to the keyboard shortcuts window, then click on the Plus at the bottom. Pages won't be in the list of applications because it's in the iWork folder, so click on Other, then navigate to Pages. In the Menu field, type Footnote, then define your key combination. Quit Pages. Restart it. Your new key command should be in the menu. At least, that's how it worked for me.
-Dennis