The pokewalker will allow you to transfer one Pokémon from your HeartGold & Soul Silver games onto Pokéwalker. The PokéWalker is also a pedometre, when you walk your Pokémon will slowly raise level and happiness.
This will allow you to raise your Pokémon without having your DS.
As you play on your PokéWalker, you will occassionally come across mini-games of sorts. These mini-games will also have an effect on your Heart Gold & Soul Silver games. One includes finding of items while you're walking. These include items such as Potions. You will also sometimes come across wild Pokémon while you play.
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I also do not have a pokewalker and i don't think you will be missing anything that will make a difference in the game in the long run.