It does seem like once you've got voters loaded that you should be able to just start creating walk lists! However, Advokit has a particular process that is required to go through.
Walk lists (aka Contact Lists) only exist in the context of a voter-contact job; jobs exist on teams; teams exist in operations; and operations exist in campaigns. Perhaps in the future we will streamline the process of setting this all up, but for now, you have a few steps to go through:

1. Define a Job Type that has voter-contact responsibilities
2. Create an Operation
3. Create a Team under the Operation
4. Add a Job on that team of the voter-contact type you created earlier

At this point, you can fill that job with an activist, and/or you can assume that job to take over the controls yourself for creating a contact list. You can create multiple contact lists for a single job if you just want to crank out walk lists. However if you intend to distribute the load of entering the results of the precinct walking, it would be better to create separate jobs for each person (or group of people).

I would strongly recommend that you read what documentation we have, in particular the documents in the Tutorials and Guides section. There is also an apropos FAQ entry.