I do not think such a feature is implemented.

You probably figured this out a long time ago but I'll answer it anyway in case someone else winds up here with the same question that I have. The closest I've seen to a walk through tutorial is a mention of the walk through function in an informational video about using puzzle logic objects. This object is placed in game but not seen by the player, just like a slot. Each puzzle you place can be set to designate which puzzles have to be solved before the hints for the current one will be displayed. Conditions for completion of the puzzle are also entered, usually by selecting "on press" or "on unlock" on an object and clicking on the puzzle object. The walk though text is entered in Walk Through on the menu designated by a scroll at the top left of the creation screen. Each heading you create will appear in a drop down menu below the word hints in the puzzle object GUI. Heading are just titles, the hints are entered below the heading and can be clicked in order by the player so you can start vague and get more specific so as to avoid totally giving everything away.

Now for the question I actually came here for an answer to: How can I test my walk through? In someone else's game, I would hit escape and I get a menu including a Walk Through option. While I am creating my room, if I hit escape, I leave play mode and go back to create mode. Do I have to publish it before I am sure it is ready, then play my published game (can I even do that?) to see the walk through? I am a get it done right before you show it to the world type of person and a bit of a perfectionist, so this question is really bugging me.

I don't know if it was changed since you asked this question (I know it's pretty old now), but pressing "H" brings up walk-through info without having to press escape.

One other way you could do it (possibly a bit more complicated though) is to use a button to "generate" picksble notes with hints drawn on them. Setting it to work a fixed number of times and in a specific order would be a bit complex, but definitely doable. The result would be more like the base game hints work, as opposed to using the puzzle pieces in the editor. I do think if your level is pretty long or complex though, the puzzle element walk-throughs give you a bit more thorough flexibility.