I know how they did it. They bound two thrusters to each "foot" and the front of each foot has a wheel on either side of it (car wheel by the looks of it), one thruster is just strong enough to lift the foot off of the back heel, the other is strong enough to move him forward. The back heel has two prongs (forming a sort of V shape) on either side of them so that he'll stand and not fall over.
How you design the body is entirely up to you, though. The axe itself is also done with a thruster, and uses a rope to keep the arm from falling down and staying down.
Which is why the knight can only walk in short bursts... If the thruster for either foot is active for too long, he'll get flipped.