First, keep in mind that a metaphor is figurative language, which is descriptions based on comparisons that are not meant to be taken literally. Metaphors, unlike similes, are direct. They do not use the words "like" or "as."
Thoreau was, if you will permit the term, like a literary philosopher. In Walden he pontificates human wisdom after spending a significant amount of time in solitude, experiencing nature. His words attempt to exact a deeper sense of truth for a wide audience, and as such, he mostly uses figurative language. Therefore, you can find several metaphors and similes within each paragraph. In some sections, there seems to be one in every sentence. Simply look for the description of ideas through concrete images, and you are probably noticing figurative language in some form. One example is
The setting sun is reflected from the windows of the alms house as brightly as from the rich man's abode; the snow melts before its door as early in the spring.
Here, Thoreau is urging people to accept their places in in life with gratitude rather than longing for something better. Basing his example off the universal idea that life is easier for the rich, he uses natural images to paint a picture that when all else is stripped away, the poor and the rich are not actually different. The sun and the snow, after all, treat them both the same.
I live in the angle of a leaden wall, into whose composition was poured a little alloy of bell-metal.
Again, using natural images, Thoreau is trying to make a point. With this metaphor, he seems to be comparing his friends and contemporaries to a lead wall. This suggests that for the most part, their situations will not change. The "bell-metal" which has been added to the wall gives it the ability to make noise (bell-metal was used in making bells, an alloy which allowed the bell to ring when struck without changing or damaging its form). "Living in the angle" of this wall suggests that Thoreau feels pinned (or trapped) and surrounded by people who constantly complain about their situation, but either can do nothing to change it, or simply don't. Here, he pleads with humanity to stop complaining and just accept things.