I said I have the same shoes as you. I am pretty sure I made a mistake. I have Shimano RD 087 SPD SL road shoes.
Shimano also makes an M 087 SPD Mountain bike shoe, which is what I think you may have. My mistake.
It is a little confusing with the similiar names for the pedals and shoes.
I have never tried SPD pedals but think I might would like them too. One of my bikes came with the Ultegra 6700 SPD-SL pedals so I ordered another pair of SPD-SL pedals for my other bike. I am used to riding with the SPD-SL's now but one day I would like to try some SPD pedals because from what I read they are easier to walk in.
Pedals usually come with the correct cleats .... BUT DO CHECK
Shoes will have holes for SPD (2 hole) or SPD-SL (3 hole)
What sort of riding are you doing. Spd is geneally used on hybrids and mountain bikes. Spd-sl is generally for road bikes. Some peeps prefer spd's on all of there bikes as it's much easier to walk,if your are touring for example