I've done kinhin in a zendo. But is it possible or useful to meditate while just going out for a walk (the primary purpose of which is simply physical exercise)?

If so, any advice on exactly what to do?

I do this most days with my dog...

• Notice 'hearing' for 10 - 15 steps. Just notice that there is hearing happening.
• Notice 'seeing' for 10 - 15 steps. Just notice that there is vision, things come, then pass from view
• Notice 'touch' for 10 - 15 steps. Feel your footsteps, touch of clothes, wind, heat, cold etc
• Notice 'moving through space'. Notice that your body is traveling, moving through space (and time)
• After a while, see if you can do it all at once!

I often use the breath at the nostrils as my base for this practice, always aware of the breath --then slowly add seeing, hearing, touching, moving, all --On retreat it became a really magical kind of practice. On my dog walks it is just very pleasant and calming, and occasionally insights / ideas / "breakthroughs" will pop up.

You can just do attention to the breath also. Or any one of the above. I will often spend the entire walk solely on touch, as mindfulness of the body is also my formal practice. I like all the variations, and recommend them highly.