What is the proper way to filter out unwanted noise from accelerometers?
Assuming:


That you limit yourself to LTI filters.
That you can characterize both the noise and the signal of interest.


Then:


(a) If you want to detect a signal of interest (e.g. detect footsteps), use a matched filter.
(b) If you want to estimate the value of such signal, use a Wiener filter.


These are "the best" you can do (under a bunch of assumptions). You will need to measure and characterize your signals (i.e. get an estimate of the power spectral density of noise and signal for (b), for (a) you need the shape of the signal itself.)