I do a bit of walking/lunting with the pipe clenched in my mouth, especially when the weather is so cold that my hands want to find pockets to shelter in. But I generally don't find it as pleasant as just strolling or hiking unencumbered, or as sitting still while smoking.
One of the main reasons is that I seem to depend on sidestream to deliver the most subtle and profound aromas while smoking. I don't taste as much if I'm only pulling the smoke into the mouth, and windy days or walking negate those intermittent and elusive wisps of glorious flavor; they just get blown away.
As to smoking to the bottom of the bowl, I find that the bowl tells me when to stop. If it turns ashy or sour, or if it's starting to seem monotonous, or if I'm just not enjoying the blend, I'll dump it. The other day, I dumped nearly a full bowlful of a new blend I was trying. Life is short!
I notice a conditioned reaction, maybe from childhood experiences like "finish your food". But I move past guilty feeling the same way I'd dump ash: it's not serving me or anyone; I'd rather be clean, I'd rather 'smoke this bowlful' of life on my own terms. And my feeling, at least, is it would be just as much of a waste to force myself to endure a smoke I'm not enjoying, when the entire point is to relax and receive the blessings of the moment.
Yes, sometimes blessings are not pleasant, but there's time enough for that kind of rigor outside of pipe smoking.
I would say that there's also a bit of grief to the end of a smoke, an awareness in the gut that nothing lasts forever. If the experience has been thin or bitter, it's up to me to bring the voice of equanimity to my yearning. If the experience has been sublime, ecstatic, divine, it's up to me to let go well, and let the letting-go and moving-on-to-the-next-thing also be divine.
A separate part of that grief (not guilt) as I dump tobacco is the awareness of the cost of tobacco. I don't just mean what I paid for it with hard-earned money; I mean the massive efforts and environmental costs that went into its production and delivery. I don't want to lose sight of the fact that I'm smoking earth's sweet and valuable gift.
Some tobaccos burn all the way to the bottom. Most, in my experience, leave a bit of dottle. When I dump it, I take a moment to be mindful and thankful for the leaf, the artisans, the beings who brought this experience to me, and for the earth and life; and I remember that my own time at the bottom of my bowl will come soon enough and I don't know when -- the time when I've burned down to the bitter end and am maybe hanging on, trying to coax my waning ember and stretch out my time. Maybe practicing clean goodbyes now will stand me in good stead when it's my own 'ashes time'.