We don't say "during the walk"(散步中), we say "on the way" (路上)。
So it'd be 路上我们总是买(一)些法式糕点。
"散步的时候", as Peggy suggested, would be acceptable too. Just a bit repetitive, as two 散步s are so close in your sentence.
Your 2nd sentence is OK. I would change the order, and say
我在全世界有很多朋友