(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.
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