Chalk: I use a combination of Crayola white chalk and sidewalk chalk
Note: dark colors, especially blues, grays, and purples, don't show up well and can be used for tracing
A note card or other written form of the problem for your math walk. It really helps to actually write it before (instead of just copying a picture on your phone) because you think about spacing and shorting the wording for the more difficult chalk drawing. I also use this index card for any perpendicular angles I need.
Drawing it first on index cards helps with errors and spacing
Eraser: just a piece of old towel or washcloth works best to erase any errors you make (I have used this a lot!)
Somewhere to draw: I try to find a relatively smooth public sidewalk, preferably next to a park or open space. Keep the shadows in mind, especially if your image takes awhile to draw!
A ruler is really nice to have for spacing
Phone or camera to take a picture: take your pictures from above if at all possible to make the problem easy to read. Watch for shadows.
String for a compass (this is even better if you make some marks on the string.
Draw a small point for the center of your circle. Tie the string around your chalk. Hold the other end on the small chalk point and voila! This is especially great for Venn Diagram math walks.
Various cutouts: I have a hexagon, a splat template, and a unit square set. I am not a great free hand chalk person, so if it looks tricky I cut out the shape and trace it.
I use this and love it as much as when I was teaching at an actual chalkboard.
Spray Chalk (I am not that fancy yet)
Make your own sidewalk chalk (also haven't done this yet)