Support walk, heading off ... (4)
I believe the answer is:
arch
'support' is the definition.
'walk heading off' is the wordplay.
'walk' becomes 'march' (marching is a kind of walking).
'heading off' means to remove the first letter.
'march' with its initial letter taken away is 'ARCH'.
(Other definitions for arch that I've seen before include "Affectedly playful (4)" , "Curved form" , "Curved overhead structure" , "Vault; roguish" , "Curve spanning an opening" .)