I don't have my walking foot in front of me so this may sound a little vague, but here goes: On my walking foot, the little arm that sits on top of the needle screw can stick in the "up" position, making the stitches teeny tiny. I have to wrap a small rubber band (think dental bands for braces) around the arm and the needle screw to fasten them together, so that when the presser foot goes up and down, the arm does too, and thus, the stitches are the correct size.
My walking foot is a generic one, but I would imagine they all work pretty much the same.