In most cases, pressing Ctrl-R to toggle run mode will get you back into walk (though it may in some cases be necessary to hit Ctrl-R more than once).
In one specific case, the above will not work. Specifically:
That gets you running sideways. If you release shift before the arrow key, you will be stuck running.
To stop running, you have to repeat the sequence: press shift, then tap-tap-hold left or right arrow.