I've more or less promised to write specifically on what it (actually) means to walk in/be led by the Spirit. Aaaand I've not done it. Aaaand I'm not doing it today.
But in the meanwhile, I just crammed two or three sermons about the Holy Spirit into one, which includes exposition of the Bible's teaching on His person and work, through both Old and New Testament, including His work in the Christian life.
The sermon and outline are here: