Thoreau, like other romantic and transcendental authors, does not like or agree with tradition. He thinks it prevents people from attaining true greatness and blocks their path to spirituality and oneness with nature or oneself.
"How worn and dusty, must be the highways of the world, how deep the ruts of tradition and conformity!"
That's not exactly a glowing reflection on tradition and conformity. He conveys a negative tone by using the words "worn and dusty." Deep ruts are hard to get out of. If you've ever gone mountain biking, you know what I mean. What Thoreau is saying is that society's traditions are deeply seated and powerful forces. He understands that they are hard to get out of, but he believes that it is important to do so.
At another point in Walden, Thoreau writes
"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."
These two sentences perfectly embody what Thoreau supports. Cast off the old traditions and teachings of the past and be your own self. That's right in line with Thoreau telling people that it's good to imagine and build castles in the air. They just need to put foundations underneath them. Don't let people tell you what is possible. Make it possible. In fact, Thoreau living at Walden for that year or so is him putting into practice his message of throwing away conformity and tradition.