To walk through walls you must completely finish the game. After you have accomplished that a announcement will appear and ask you if you would like to be able to walk through walls. Pick yes and you will now be able to walk through walls.
At the 'Main' menu go to 'War Room' and select 'Options' and enter 'Select', L, R, 'Select', Y, Y, X, R, L, X, R, Y as a password to unlock Survival mode for your current game session. Once the game has been turned off you must re-enter the code to enable Survival mode again and any progress made before will be lost.