Okay, so I got my copy of HeartGold via UPS yesterday. Trying out the PokéWalker was one of the first things I did. In my game, as soon as I was able to, I captured a test Pokémon (a level 4 Pidgey in this case) and transferred it to the 'Walker. Then... I went to work at my part-time job (a grocery store).
A four hour shift (and 4,000 'Walker steps) later, I went home and transferred the Pidgey back to my game. It only gained one level! Incidentally, to level up a Pidgey from 4 to 5 requires 39 EXP.
39 EXP in four hours is not good.
Later I tried transferring Cyndaquil to my 'Walker. I gained about 200 steps (enough to try out the PokéRadar). I caught an Onix, and then transferred both Pokémon to my game. Cyndaquil gained a level.
I am a bit confused about how leveling up via the PokéWalker works. Anyone else try this thing yet?
Did you possibly get into a battle or something which stopped your count soon after Pidgey leveled? I don't know if that can happen, I don't have one myself.