It implies liberty, because a bound man cannot walk. It implies light, for those who walk in darkness stumble. It implies progress, for those who walk are going somewhere. The believer's first responsibility is to walk in holiness. Sexual morality is not an option, but a divine imperative or command.
Sexual immorality involves any and all sexual activity outside of marriage.
It is any activity that stimulates sexual desire. This would include pornography, petting, fondling, and such like. One does not have to go all the way to be guilty of sexual immorality. Sexual foreplay is inappropriate in a relationship in which intercourse is inappropriate. The believer is to possess or have it under his control at all times.