Je marche... = I walk
Je me promene.. = I take for a walk
Je me balade.. = I take a walk
Je vais à pied.. = I m going somewhere, walking
etc.
There are only tiny nuances between all of them, specially between " se promener and se balader " which are synonyms. All of them are quite common, but usually you would say “ je vais à pied “ when u wanna inform someone or a group that while they are taking the car, or the public transportation, you intend to go walking.
Note that you can also “ envoyer quelqu'un promener “ or “ envoyer quelqu'un balader “ which means you tell him to go away, to leave, to go to hell.
Have a nice day !