Oh ugh. I almost had this problem but I spotted the bugs in time. That was a roll of batting from a thrift shop, so I wasn't too shocked; just glad I spotted them in the bag before I brought it home! (I showed the shop; they threw it out.) Bleh!
I hope it's something harmless and easy to get rid of. Definitely contact WalMart ASAP! They need to know before they infest someone else's home, and I agree they ought to at least help pay for any remediation you need to do to get rid of them.
I feel itchy now.