The walking foot is for quilting straight lines. The feed dogs are engaged with it, just as with regular feet. It's called a walking foot because it feeds the top layer evenly with the bottom layer. It is not used for free motion quilting.
For FMQ, you need a "hopping" foot. This has a spring in it so the foot "hops" up with each stitch, allowing you to move the fabric. Most people use it with the feed dogs down to allow easy hopping; however, it will also work with feed dogs up and some people find they have better control that way. A darning foot is a hopping foot, and that is what most people use for FMQ.