A partial reason Walter goes on these errands with his wife is that he does so out of obligation to his wife and his marriage. Such obligations become habit. This is the first reason.
Although we may be inclined to sympathize with Walter, the dreamer, and scrutinize Mrs. Mitty, the disciplinarian, Mrs. Mitty is Walter's link to reality. And although Walter seems to need these fantasies to escape from his mundane life, he can only indulge in those fantasies if someone is looking out for him while he is mentally distracted. Therefore, as much as Mrs. Mitty dislikes Walter's absent-minded spells, she enables them by watching out for Walter and serving as his link to the real world.
In fact, in his absent-minded state, Walter relies upon others (in addition to his wife) to bring him back to the real world when necessary. While his wife is in the store, a parking lot attendant must call Walter to his senses when Walter goes the wrong way.
"Back it up, Mac!! Look out for that Buick!" Walter Mitty jammed on the brakes. "Wrong lane, Mac," said the parking-lot attendant, looking at Mitty closely. "Gee. Yeh," muttered Mitty. He began cautiously to back out of the lane marked "Exit Only."
One could argue that Walter tolerates (and maybe even embraces) ritual activities, such as errands, which require little of his attention because these activities allow him to revel in his fantasies. Of course, he does (consciously or unconsciously) rely on his wife and others to bring him back to reality when his attentions are required.