Having Hashem walk with you is a sign of extreme closeness, and a person who does Hashem's will should realize that Hashem is very close to him, as if he is having a stroll with Hashem Himself. There is no doubt that this symbolizes extreme pleasure. A person has to work on feeling that Hashem is right next to him, and he has to work on appreciating how wonderful it is to have: מְּ קוֹר כָ ל הַ בְּ רָ כוֹת the Source of all blessing (Hashem) in such proximity.
When you feel that Hashem is right next to you, then you daven much better and you become more real. You don’t feel like Hashem is millions of miles away from you, and when you daven, you don’t barely believe that your Tefila could be worth much. Dovid HaMelech said: וַאֲנִי קִרְּ בַת אֱלֹקִים לִי טוֹב תהלים עג כח closeness to Hashem is my good, and R' Gershon Liebman Zatzal chazered (repeated) this thousands of times. No wonder he was Mamash "steel" in the concentration camps, and he risked his life for Torah and Mitzvos constantly.
When you feel that Hashem is right next to you, you are a totally different person, and then you are fearless even from the most dangerous situations. Even by the K'lalos, it says: וְּנָתַתִי פָנַי בָכֶׁם כו יז I will give My attention to you, i.e., Hashem will be involved in your punishments. It's a totally different feeling when you realize that you are directly being hurt by Hashem.
