It is always nice to hear of someone going to Hajj inshaAllah!!
There is some very good reference information at the Hajj page of this website (www.jannah.org/hajj
) so please take time to visit that.
As for your specific questions, here are some brief answers and I am sure others will chip in as well with their views.
1. Walking is generally okay as long as you are in reasonable shape. Please note, though, that your group may well be taking the bus and you may be isolated if you decide to walk to the various places by yourself.
2. Some people prefer sleeping bags, others just make do with a mat and blanket. Given that Hajj is taking place during the winter months at present, some sort of cover would be essential especially when in Muzdalifa.
3. Personally I would bring everything that you need with you, especially medication.
Please add some more questions if you have them since I am sure it will also help others who are going/intending to go.