Brooke Shields in ''Chicago''

Brooke Shields, bad girl? Yes, the new mom is bumping and grinding her way through the nine-year-old Broadway revival of Chicago as merry murderess Roxie Hart, and all that fancy jailhouse footwork can take its toll. ''I have to get a lot of physical therapy,'' laments Shields, who arrives at the Ambassador Theatre two hours early to get glam (she does her own makeup) and limber up her long legs and vocal chords. ''My hips, my back, my neck are always sore.'' But for four-time Broadway vet Shields (she's also appeared in Grease!, Cabaret, and Wonderful Town), being in the Bob Fosse show is worth a little pain. ''It's mesmerizing,'' says Shields, who's signed to star through Oct. 31. ''I feel like Alice in Wonderland.''