Okay not a problem, I wonder if it is because I tend to just use a combination constraints and FK when doing the walkers. I don't keyframe the effectors at all.
But as you said whatever works.

The boxes/shapes that you move to effect the bones are called Controllers. Every rig should have these, or animators will hate you forever :3.

I haven't used XSI in years nor exported anything to SWBF 2, but it should be as simple as creating any object/curve/shape/locator, and parenting the bone to that. In Maya/Max we use curves as controllers. Not sure what you would use in XSI, but a null would suffice.

You would then animate through only the controllers, you don't set ever keyframes on the bones if it has a controller. If SWBF 2's exporter is decent like almost every other game engine, it should support animation through controllers.