What general lesson about conformity is there in Walden?

Thoreau is a transcendentalist. As such, he is a major supporter of individualism, believing that a person shouldn't feel the need to conform to societal norms if those norms run counter to their individualistic feelings. Emerson, another transcendentalist, says it nicely with the following quote:

Do not go where the path may lead, go instead where there is no path and leave a trail.

Thoreau would probably love the modern-day sayings of "Just Do It" and "You Only Live Once." At their core is a sense of carpe diem, and that is what Thoreau encourages his readers to do. Get out and do your own thing! Walden is full of great quotes that are truly inspiring in terms of anti-conformity without sounding like an anarchist rebel. I've always really appreciated the following quote because of how well it tells readers that not conforming is okay and can be a healthy way to live life:

If a man does not keep pace with his companions, perhaps it is because he hears a different drummer. Let him step to the music which he hears, however measured or far away.

I also really like the next quote because of how much it works the imagination:

If you have built castles in the air, your work need not be lost; that is where they should be. Now put the foundations under them.

Castles in the air is a crazy idea, and Thoreau tells readers that's not a problem. Put your castle in the air and then work to build toward it. It's okay not to conform to the world, but be prepared to build your own path, and make it amazing.