Using ShiftF you can move around using WASD and pressing Tab lets you have gravity which is good. How might I utilize this with objects. Locking to camera lets me do this but simply selecting an object does not let me do this.
You have to parent CtrlP the object you want to move to the active camera.
A few quirks about parented objects and walk mode: Make sure the object is not intersecting the camera; if it is the camera will fly away when the gravity is turned on. By default the object will inherent all the rotation from the camera, use Vertex parenting (in my linked parenting answer) if the rotation is not wanted.
Switch the view to camera view NumPad 0, then enter walk mode with ShiftF.
When you are done "walking around" your scene press Enter, that will move the camera to the place where you ended walk mode. Because the object is parented to the camera it will move along with the camera.
You should unparent AltP the object from the camera after you are done.