Haven't tried that with a guitar, But I've had good results on studying, memorizing, reading or just thinking while walking.
In fact I came to the conclusion a while ago that the mechanics of walking somehow increases my ability to think clearer and concetrate on a single mental activity.
The way I explain it is that we are so used to multitasking that when we try to concentrate on a single thing that requires our full atention, we unconciously (sp?) get distracted by either external events (tv, music, a fly on the wall, etc.), or by our own internal toughts of unrelated things to the task at hand.
By walking we are performing a mechanical activity that doesn't require much thinking, but gives our mind a very simple distraction, enough to mitigate that mind hyperactivity thus making it easy to concentrate on a single mental task.
Of course I recomend doing it on a walker to avoid accidents, I used to do it in an enclosed enviroment (living room) while walking in circles which sometimes ended with accidental furniture triping.
Do I sound a bit weird?