Sorry, don't know about that as it's not a feature I use, but I highly recommend manually inserting walking sounds into the animation frames of the walk animations where you want/need it to play a walking sound.
If you fancy something more dynamic then I recommend using Lua script with some tables containing various sounds & the openAL sound functions as you will be able to have it play a random sound with random amount of volume to create something that sounds more dynamic & realistic - this is just a suggestion mind.
I tried putting a walking sound in the walking animation but than everytime the animation cycle starts, another walking sound will be played ontop of the other ...