My Westie is licking one of his paws, to the extent that all the fair on his foot has gone, and his paw looks red.

I had some nasty tasting spray, that we have tried on him, but its obviously not nasty enough, as it has'nt stopped him, and infact seems to stay in my mouth and on my hands for days.

His paw is not sore, as he'll let you touch it, but, as said above nearly all the fur has gone.

Any ideas on how to stop this?

Do we assume a vet has diagnosed no underlying injury or other problem?

Yeah, sorry there is no underlying injury.
His skin condition is generally good as well

Westies are prone to skin conditions , sometimes caused by diet ! what do you feed him , has he always been on this food or is it a rescent change , have you used Fabreze in the house as this is terrible for dogs and can cause skin problems , if you can rule out any external factors then the next thing is maybe its an anxiety condition , some dogs will lick and lick at thier paws from anxiety bought on by a change they dont like , arguing betwwen humans a new addition to the family a new dog next door etc , it manifests its self in them almost self harming .
I had a dog years ago that did this during the time my ex husband and i were going through our wosrt time with arguing before we eventually split up , i didnt know at the time that this was the result of our actions . Hope some of these ideas help .

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Did the vet check for allergies? Food allergies or environmental?

You could wrap the feet up so he can't get to them. At least temporarily so that they can heal.

My Chihuahuas have been licking their feet a lot now that they have been going outside more often. Seems to be an outdoor allergy.