When we saw the first glimpse of the Beast Titan in season 2, he was walking slow, at least compared to titans that we have seen. It seems unlikely that he would transform just to simply walk at a slow pace. It would be much faster if he ran to the wall, but I am not sure if he can actually run. His arms are very long in comparison to his body size. When he stands up he touches his ankles. With all of these facts together I am not sure if he simply walked or ran (or if he can for that matter).