The first time I ever did a "walk-in" was at the St. Regis Houston. My ladyfriend and I were with some other friends drinking and smoking cigars in Remington's Lounge (one of my favorite cigar spots in Houston). Even though her place is only a couple of blocks from the hotel, I thought it would be fun to surprise her and just stay the night there for fun.
So I went to the front desk and inquired if I had an award reservation tonight, would a Platinum Suite upgrade be available? The Front Desk Clerk checked his screen and said "Yes" so I said book us in, please. He said he couldn't book the award reservation or do the deduction, but I was welcome to call SPG to make the arrangements right now, and then he would check us in.
Standing right at the front desk I called the PlatCon line, booked the award stay, hung up, and had a friendly chat with the clerk (nobody waiting in line) until within one minute or two the award reservation arrived at the hotel and showed up on the clerk's screen. Checked-in, upgraded to beautiful Suite, keys issued...just like that!
I've since done walk-ins several other times. One time just for giggles and to see if it worked as well that way, I whipped out my laptop and used a hotel's free lobby Wi-Fi to book online, and then strolled up to the counter to check-in. Worked just fine.