Comment by rtrwalker 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.

@John Palmieri after repeating my procedure I still could not find walk.py in the directory that you suggested (all there was was an empty 'interface' directory. Regardless, with your sage --preparse suggestion I can force sage to make me a walk.py file. Thanks