Yeah, it looks kind of cool, but the problem with walkers is they have to hold "themselves" up, as well as carry the weight of the controllers and batteries, unless you want to have trailing wires.
9g micro servos have only 15 oz-in torque, which is just 1/3 of that of the "standard" servos.
People I know who have tried building walkers using micro servos have found the servo torque isn't high enough, so don't be too surprised if you have problems. I've found that many of these ebay thingmabobs, especially from china, look nice, but haven't been tested very well, and don't work very well. Would be nice if you had a youtube video of the walker walking to look at.
With a hexapod, you can get away with slamming the legs at full-speed, but with a quadruped, you definitely need finer control over leg movement speeds, so having a controller that has speed control is a good idea. It's not clear if the one you bought allows you to do this, eg see the following for info on speed control:
http://www.lynxmotion.com/p-1032-ssc-32u-usb-servo-controller.aspx
Also, in general, I've found that 4-6 NiMH AA-cells in series work good for both regular motorized and walking robots. These have 2000-2500 mA-hr ratings. With 6-cells, you can probably power both the controller and the servos from the same battery, provided you add a lot of capacitors for noise filtering on the power busses.