Comment by John Palmieri for (Edit: I originally thought that there wasn't a file walk.py, but I think that's wrong.)Look in $HOME/.sage/temp/DIR0/DIR1/ where $HOME is your home directory, DIR0 has a name like $HOSTNAME and DIR1 is a number, the process id of the Sage process. This directory is deleted when you quit Sage.If you want to produce a more permanent file walk.py, then from your shell prompt, run sage --preparse walk.sage. This will produce walk.py in the current directory.

@kcrisman: if you run "load_attach_mode(attach_debug=False)", then I think it won't save the preparsed file: it will preparse walk.sage, save it as a string, and then just read the string.