+4  A: 

You can add a small negative space using \! between the punctuation mark and the footnote.

As Jouni commented, \! is a math mode command causing latex to switch into math mode. This can be prevented by using the amstex package.

jug
This works, but makes everything after it italic. Probably because footnote is so weird. But the idea of removing a tiny bit of space workds: it turns out I can just use \hspace{-0.8mm}.
Paul Biggar
Sorry, you're right. I had tried it on a footnote in math mode where everything worked fine. Looks like \! works only in math mode!
jug
No, the reason \! makes things italic is that it is a math-mode command, and TeX thinks you forgot a $ and ever so helpfully inserts one for you. The very commonly used amsmath package redefines \! to work also in text mode.
Jouni K. Seppänen
@Jouni: Thanks, that works.
Paul Biggar
@jug: If you mention the amsmath thing from Jouni, I'll mark this correct. Thanks.
Paul Biggar