I already said a bit about this in my post about Christmas in Leukerbad, but just in case anybody is specifically looking for winter walking tips....
We generally go for a winter walking holiday in Switzerland and this is our 4th different destination. I would rank them
1. Saas valley
Though of course this is subjective. Leukerbad was actually the perfect place for a 4 day Christmas break and I would rate it no.1 for that as there is more to do in the evenings at L (thermal bathing!) than in Saas. But if we'd stayed longer than 5 days we'd have run out of winter walk routes so Saas scores higher on that front.
There had been a good fall of snow a fortnight before we'd arrived and the winter walking paths were all well prepared (not always the case by any means) apart from one which was closed supposedly because of avalanche danger - but I think more likely because they couldn't be bothered to prepare it. This was disappointing but we've found that sort of practice everywhere we've been and Leukerbad was better than most. One criticism I would make - there aren't so many benches on their winter walks as we've been used to before - where to stop for our flask of hot chocolate and rations of toblerone!
The Gemmibahn only opened for the season on 22nd December and I'm glad we had that option as our favourite walk was up there and without it there would only have been 3 good days' walking.
Most of the routes are given timings rather than distances but we found these to be pretty arbitrary which made planning quite difficult. It's also not clear whether the timings are for a return trip or one way. For example the Panoramaweg at the top of the Torrentbahn is given as 90mins but it took us only 40 and we cetainly weren't running! So I think they must anticipate you doing it in both directions. By contrast the Gemmibahn - Sunnbuel walk is given as 3 hours and that must be one way only - we did it there and back in just over 5 and I can't see each way being done in 1.5 hours. In fact this wouldn't fit with singposted timings along the way either. And of course many of the timings are on all-year-round signs and it is slower walking in snow as anybody who's done it will testify! If anybody wants to know about a specific route just ask and I'll tell you how long it took us if I can remember!
If you do go to Leukerbad in winter, do research some of the meal and pass deals. A Gemmi pass costs 31CHF but combined with menu of the day at the restaurant at the top (priced at 17.50CHF) it costs only 41CHF. A bargain and very welcome after a long walk! The Rinderhutte at the Torrentbahn does special meal offers too but only on certain days.
I looked at the combined mountain and spa pass at 62CHF but frankly couldn't see how you'd get value out of it as a walker when the maximum return lift pass was 31CHF and full day entry to the baths max 25CHF.
We didn't ski but it would appear to be a great place to ski - the runs were much less crowded than most I've seen.
Anyway, I hope this helps someone!