Water will work, but use a gentle soap solution as well (Dawn dish detergent works great!). Don't be afraid to really scrub the toes with a washcloth and gently pull the litter from between them. It WILL come off with a little "elbow grease". My cats do this all the time, trust me...you're not going to break them! :-)
If they tend to have hairy feet between the toes, consider shaving the bottoms of the feet (your vet or a groomer can do this for you). I always do this with my longer haired cats to avoid the litter getting stuck in the toes. It works very well. Best of luck to you!
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