Walking meditation is not just for stretching our legs. It is a technique just as powerful as sitting. Within the Buddhist world there are many styles of walking meditation: the formal kinhin of Zen, the kaihogyo of Mt. Hiei, the rlung-sgom of Tibet, etc.
Walk slowly but naturally. Try to register as much information as possible about the sensation in each foot as it moves. Break the movement into distinct components and note each one. Distinguish the lifting, swinging and down-tread. Experience each change in tactile sensation against the floor as you lift and touch down. Try to feel the many tiny jerks of muscles involved in the foot's seemingly smooth motion. Try to see that each component and sub-component of the foot's motion has its own distinct beginning, middle and end.
At first you may want to make explicit mental note of the components by saying to yourself something like "Begin lift, lifting, end lift, begin swing, swinging, end swing, begin coming down, coming down, begin touching ground, touching..." However, as you become more and more aware of subtle events, you will not have time to characterize each with words. In any event, keep an unbroken stream of awareness about the foot. If your attention wanders, be aware of that fact and return to the foot. Remember, it is very important to keep the rest of the body relaxed while you do this.
Our sense of solidity and separateness comes about because we habitually grasp and freeze each moment of sensation. The vipassana walking exercise is designed to so completely flood your consciousness with reality moments that there simply is no time left for grasping and freezing. As soon as a piece of data is registered, move on to the next piece of data without allowing the memory of the former piece of data to congeal.
In other words, this exercise takes as its object the emotionally neutral and easily controlled event of walking and teaches us to stay in the absolute present with it, leaving no time to fantasize, no time to create separating distance, no time to freeze the foot-activity into an object, no time to create a separate self.
Here we are learning to escape into reality. Whatever insights you gain from this simple exercise can then be applied to escaping into the complex and demanding reality of daily life.
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