you are trying to say "let's walk in the sea" use "alongside" or "near"

Olga from Volga, A harbour is a body of water. You can't walk IN the harbour or ON the harbour (unless it's covered with ice). At the harbour can mean "near the harbour". You could go for a walk AT the habor, which would mean on the land surrounding the harbour. You could also walk around the harbour, or along the harbour. People sometimes think of a harbour as both the water and the city or town surrounding it, so you may hear or read " a walk in the harbour". However, by definition a harbour and the town surrounding it should be considered a "port".

I'd actually say "along" or "around". If you are in the harbour, you need to swim!

I would say "at."