I had this problem too, because normally when I walk my knees sometimus rub together. I had to think about walking in my PJ's for ages, focusing on keeping my legs apart so they wouldn't bang into each other. I can do it fine now without thinking now. I didn't think my walking was that bad until I got my PJ's.
Further tips: Lift your legs up properly, otherwise you can scr***e you hoof along the floor which will increase your risk of tripping. Trust me, I fell over today because of a crack in the path.
Also make sure that when walking in your PJ's, you don't twist your foot when moving the other...
((Dark Knight, not only more fun but cheaper than heal supports!))
Another tip: try to walk upright or you'll get pains in your lower back from bad posture. I think it's called bocker's back... You might tend to lean forward in your PJ's to balance better, don't.