His dancing on the show is not just something he made up on the spot. In fact, he's been a proper professional dancer since he was young. Talking about his casting, Walter said "I auditioned like other people. I almost missed it because I was doing 'Star Search' at the time. After 2-3 call backs, with Saban, I learned that they wanted an actor who can dance, do martial arts, and gymnastics. It just happened that I had all the right characteristics for the role."
How good is he, exactly? Well, since he discovered salsa on a cruise to Puerto Rico, he actually became a world champion of the dance in 2004. That's a couple of years from not knowing a single step, to becoming one of the best in the world at it. Most people couldn't even learn the Macarena in that time, let alone a fast-paced Latino rhythm like salsa. He even teaches classes in it in LA!