Try the line tool. If you do this, you'll be able to get consistent lines, even with the mouse. Turn off the snapping tool (the magnet icon) so you can get subtle differences with angles and such. Here's an image:
For the head, use the ellipse tool to draw it. Here, you can either turn the snapping tool back on or better yet, hold down the "Shift" button as you click and drag. This will give you a perfect circle. Switch to the cursor-select tool. Right click on the circle and convert it to a symbol so it can be re-used. You might also want to put it on it's own separate layer so that it doesn't interfere with the line work on the stick-man.
The walk cycle looks great, but I can tell you'll be able to animate much better if you get the hang of Flash. :)