I stepped on a small peace of glass and am not sure if it's stuck in my foot. Can I just wait and let it fall out?

No. You should see a podiatrist or orthopedic doctor to have the glass shard removed to avoid further complications such as infection.
Soak it and see doc. It can become infected. For immediate care you can soak ot to possible wash away the piece of glass. Since it is on the foot walking may push it in further. It is best to clean it and schedule a vist with your doctor so he can examine the area, remove the glass if it is there, and administer tetanus shot if you ave had one in 10 years.