You can record the walking, then stop the recording and leave the cursor at that time. Change the walk to run, record that. Stop and change to creep, and so on.
You can also copy previous takes (Ctrl+D) and drag it to another spot in the timeline.
See those red dots next to most parameters when you twirl open a behavior? Any of those can be armed, which means when you press record, it will look for data from them. So if you armed "Walk > Style" and changed that mid-recording, the change would be recorded.