I take my cats out on a harness in good weather, and keep them far away from the road.
The thing with walking a cat is that they won't normally follow YOU around like a dog would, you sort of have to wander around behind them with a firm grip on the leash. My cats also like to roll a lot.
Another thing to be careful about is that it can make an otherwise content indoor-only cat want to be outdoors... I know that Martell would try to slip out the door any time I left the house for a while at first. Fortunately, I would go out of my house through the garage, and I wouldn't open the garage until the house door was safely closed. That way if he ever got out the door, it was just a matter of chasing him around the garage until I caught him and put him back inside.
You obviously have to be careful of other animals if you take your cat out, and if you are in a high traffic area, be careful. Even if you aren't near the road the traffic can spook your cat and make him bolt.
Be sure to get a good fitting harness... not too tight, not too loose. A harness is a must, never attach a leash to your cat's collar.
Also, be aware that some cats just don't like it. I never take former ferals outside, just to be cautious... and Tyrael is terrified if I take him out, he is much happier to sleep on a sunny windowsill.
Here are a couple of pictures from the last time I took these guys out walking:
(and of course, the first thing Martell did was run over to a hot, sandy spot and roll in the dirt...)