Hey, I tried this awhile back. Here are some tips for you, accompanied by some WiP images that I never really finished.
I started this walk cycle draft using a body I'd made in Poser, and picked out I think 12 different keyframes on which to base my animation. I copied + pasted into Illustrator, and started by drawing each part individually over the Poser model. I used the pen tool and the mouse, manually setting my curves. I over-drew the joints, so that there was overlap between parts. I drew the head and hat really large and rough with a tablet in Photoshop, and Live Traced them in Illustrator, because this originally just started as an attempt to do colored linework:

Were I to do this again (there will be a lot of "Were I to do this again" in this post), I'd either do it all in Illustrator, or leave my vectors headless before moving them over to Photoshop and I'd draw the heads there. At this point, I had all the pieces you need to make a police detective:

I was working through this really quickly, so there's some weird stuff, like the front ball joint of the shoe that has a weird trailing point. I copied the hands over from another failed walk cycle, so they don't quite fit with the rest of the body.
I kept each of my walk cycle guides on a separate layer. I did a simple print screen, and used the top of the GUI window to make sure they were aligned. I'd show an image for this, but I deleted them all from the .ai file, apparently. I started by placing all of the parts on the model and arranging them for the first frame. Then, I'd select all, and ctrl+C to copy the parts, hide and lock that layer, then move up to the next one and ctrl+F (to paste in front, in the same place). This meant I wasn't starting from scratch on every frame, but was able to move the parts just slightly from one frame to the next.
I pretty much just selected each part, rotated, moved and scaled as I needed to. Were I to do this again, I would use the following method:
1. Establish a circleof a few pixels around which each part should rotate. For example, in making the arm, put a circle in the center of the shoulder socket, one at the elbow, one at the wrist.
2. Use alt-click with the rotation tool to select these circles (one at a time, see below), which will define the point around which the object is rotated.
2. Start by rotating the whole arm, then the forearm, then the hand. Work from the joint that moves the most amount of mass to the one that moves the smallest.
...This would give more consistency than what I did, which was to just kind of eyeball it.
I did this 12 times, until I had a full walkcycle. Some parts needed to be changed a little, especially around the knees. Were I to do this again, I might make a separate, more consistent knee and elbow piece to cover that joint. There are, on this version, no elbows of which to speak. I left all of the parts unattached, just kind of hanging out there, looking like this:

To move everything over to Photoshop, I drew a printer's mark bullseye on a separate layer. I then went in to each individual layer and combined the parts that needed to be combined -- the upper arm and forearm, the thigh and calf, the two parts of the shoe -- using the Pathfinder unite function. Generally, this worked well, and kept the same color + stroke consistent. Sometimes I'd adjust a few things afterward, but not too often.
Then, I'd copy each frame over to Photoshop, resize a little, and line up the bullseyes, again keeping each frame in a separate layer. I tried to start with my widest frame, where the feet were furthest apart, but I think I still wound up using the expand canvas function to make sure everything fit. With all layers visible, it looks like this:

Animated, it looked something like this:

This walk, because I'd made some "toughness" adjustments in Poser, was a bit overblown for me. But it was a cinch to go back and make the motions more subtle for the next version, though I didn't unite my segments here (because I was still just experimenting [and ignore that weird half-step -- obviously a mistake that I should've corrected!]):

It took me, from start to finish, Poser, drawing the head and all, about two hours to do the first walk, and another 20 minutes to adjust for the second walk. Honestly, making the animated gif took up most of that time.
The next day, I wondered how I would fare if I just kind of eyeballed the movements for an animation. This one is a rough of a quick draw and two gunshots fired at a speeding car. Imagine that he has two hands, that the hands are also animated, and that there's a gun. I have faith in your imagination! I was too lazy / still experimenting to draw them myself!

It turned out pretty well, I thought! Only 20 minutes to do this one.
The big con to this method is foreshortening. It works swell for east and west views, but you'd have to change the scale of the arms and legs for north to south, and your diagonals. Also, any motion that made the sprite turn from one view to another would be tricky to line up correctly. My attention span wandered before I got that far with it, however.
I hope this is somehow useful, even if you just learn from my mistakes. I expect others will chime in to say, "WHY IN THE WORLD WOULD YOU DO THAT THIS WAY WHEN [simple way] WORKS BETTER?" And the answer will be because I didn't know about that way, and thanks for telling me (and slasher) that it existed.
I started this walk cycle draft using a body I'd made in Poser, and picked out I think 12 different keyframes on which to base my animation. I copied + pasted into Illustrator, and started by drawing each part individually over the Poser model. I used the pen tool and the mouse, manually setting my curves. I over-drew the joints, so that there was overlap between parts. I drew the head and hat really large and rough with a tablet in Photoshop, and Live Traced them in Illustrator, because this originally just started as an attempt to do colored linework:

Were I to do this again (there will be a lot of "Were I to do this again" in this post), I'd either do it all in Illustrator, or leave my vectors headless before moving them over to Photoshop and I'd draw the heads there. At this point, I had all the pieces you need to make a police detective:

I was working through this really quickly, so there's some weird stuff, like the front ball joint of the shoe that has a weird trailing point. I copied the hands over from another failed walk cycle, so they don't quite fit with the rest of the body.
I kept each of my walk cycle guides on a separate layer. I did a simple print screen, and used the top of the GUI window to make sure they were aligned. I'd show an image for this, but I deleted them all from the .ai file, apparently. I started by placing all of the parts on the model and arranging them for the first frame. Then, I'd select all, and ctrl+C to copy the parts, hide and lock that layer, then move up to the next one and ctrl+F (to paste in front, in the same place). This meant I wasn't starting from scratch on every frame, but was able to move the parts just slightly from one frame to the next.
I pretty much just selected each part, rotated, moved and scaled as I needed to. Were I to do this again, I would use the following method:
1. Establish a circleof a few pixels around which each part should rotate. For example, in making the arm, put a circle in the center of the shoulder socket, one at the elbow, one at the wrist.
2. Use alt-click with the rotation tool to select these circles (one at a time, see below), which will define the point around which the object is rotated.
2. Start by rotating the whole arm, then the forearm, then the hand. Work from the joint that moves the most amount of mass to the one that moves the smallest.
...This would give more consistency than what I did, which was to just kind of eyeball it.
I did this 12 times, until I had a full walkcycle. Some parts needed to be changed a little, especially around the knees. Were I to do this again, I might make a separate, more consistent knee and elbow piece to cover that joint. There are, on this version, no elbows of which to speak. I left all of the parts unattached, just kind of hanging out there, looking like this:

To move everything over to Photoshop, I drew a printer's mark bullseye on a separate layer. I then went in to each individual layer and combined the parts that needed to be combined -- the upper arm and forearm, the thigh and calf, the two parts of the shoe -- using the Pathfinder unite function. Generally, this worked well, and kept the same color + stroke consistent. Sometimes I'd adjust a few things afterward, but not too often.
Then, I'd copy each frame over to Photoshop, resize a little, and line up the bullseyes, again keeping each frame in a separate layer. I tried to start with my widest frame, where the feet were furthest apart, but I think I still wound up using the expand canvas function to make sure everything fit. With all layers visible, it looks like this:

Animated, it looked something like this:

This walk, because I'd made some "toughness" adjustments in Poser, was a bit overblown for me. But it was a cinch to go back and make the motions more subtle for the next version, though I didn't unite my segments here (because I was still just experimenting [and ignore that weird half-step -- obviously a mistake that I should've corrected!]):

It took me, from start to finish, Poser, drawing the head and all, about two hours to do the first walk, and another 20 minutes to adjust for the second walk. Honestly, making the animated gif took up most of that time.
The next day, I wondered how I would fare if I just kind of eyeballed the movements for an animation. This one is a rough of a quick draw and two gunshots fired at a speeding car. Imagine that he has two hands, that the hands are also animated, and that there's a gun. I have faith in your imagination! I was too lazy / still experimenting to draw them myself!

It turned out pretty well, I thought! Only 20 minutes to do this one.
The big con to this method is foreshortening. It works swell for east and west views, but you'd have to change the scale of the arms and legs for north to south, and your diagonals. Also, any motion that made the sprite turn from one view to another would be tricky to line up correctly. My attention span wandered before I got that far with it, however.
I hope this is somehow useful, even if you just learn from my mistakes. I expect others will chime in to say, "WHY IN THE WORLD WOULD YOU DO THAT THIS WAY WHEN [simple way] WORKS BETTER?" And the answer will be because I didn't know about that way, and thanks for telling me (and slasher) that it existed.