Sorry, you don't really control the guy directly. If you press space, there's a menu and you select choose target to start walking. It's a bit indirect. When moving, you can 'hard travel' to move pretty far in 0 time, but you have to play a twitchier game and risk losing food.
I'm kind of unsure how to indicate that in the UI ... maybe I should just let arrow moves do a 1-square move and have the UI wait...