I just learned how important it is to have a round pen
Just exactly how important is a round pen? Pretty important if you plan to train a wild mustang or work with very young or mostly untouched horses. They're very handy when your horses get out while you aren't home -- they give the sheriff some place to leave your horses while he puts the nasty note on your door. They are a good place to work on desensitizing (clippers, fly spray, vacuum cleaners) and they're a handy place to work on ground tying. And right now I have a couple of Scottish Highland heifers in mine, and I'm happy knowing the shaggy little trolls aren't going any place.
On the other hand, they are expensive, and really good ones are very expensive. Good panels are made of heavier gauge steel and therefore heavy to move. Lighter ones will bend when your horse reaches over the top. Unless you buy galvanized the paint will get knocked off and the panels will rust.
The main attraction of round pens for a lot of people seems to be the concept of directing a horse around the pen so that it starts, stops, speeds up, slows down, and turns at the direction of the trainer and then comes in for what Monte Roberts calls join up. The problem is this is the first thing a lot of people want to do and it is a difficult skill to master. Furthermore, for horses that are already accepting a rider it is usually a waste of time. You can improve your bond and your leadership with a horse immensely with a halter and lead and a few exercises from the same guys that use the round pen.
I like your idea of using cattle panels and T-posts. Be sure and top those posts with a some big fat plastic caps. And you might want to weave something near the top of the panels to create more of a visual barrier. But if I were you, instead of making a round pen, 45-60' in diameter, I would try and put together a little arena, maybe kind of an oval shape 75 wide by 150 long. Try Craigslist or local farm auctions for used T-posts. Expect to pay $2-3 each.
It's really nice to have a safe place to work on trot-canter transitions and cantering, and a round pen is really too small to do very much without both you and the horse getting bored out of your minds. And you really don't want to be trying to train a horse that is bored.
Good luck to you with your walker.