These are really quite small but appear to do the job. The book suggests using a hot glue gun to glue the two servos together with the front one facing forward and the rear one facing down. I don't have a hot glue gun so I used my old favorite, 'gaffer' tape.
This picture shows the two servos taped together and the rear legs made out of coat hanger wire, and attached to the servo mounting part using thin wire (I also taped a thin strip of gaffer taped over these). For Arduino board itself and the battery I used a small piece of MDF and used cable ties to attach the servos to the MDF. End result looked like this:
This must be uploaded to the Arduino with the servos attached but before the legs are attached to the servos, otherwise the legs may end up mis-aligned.
The sketch that makes the robot walk is as follows:
This basically goes though a loop of raising the front right leg, followed by the back left, then front left leg followed by back right.