I think that Thoreau approaches his essay in a fundamentally Romantic manner.  One such way that this is evident is in his stress on individuality and individualism throughout the essay.  For Thoreau, the fact that individuals will need to step outside of what society or government expects of them in order to assert their own sense of self is a highly Romantic notion.  Romanticism was predicated on the idea of that individual sense of identity should trump the social or political conformist notion of the individual at all moments.  It is here where I think that Thoreau can be seen as a Romantic thinker through the values he expresses in his essay.  At the same time, Thoreau is actively advocating for what should be as opposed to what is.  This is yet another Romantic value for it seems to transform and fundamentally change the world as individuals know it.  In this, Thoreau is advocating a Romantic sensibility and assumption in his work.  Finally, Thoreau is making a direct call for individuals to challenge the authoritarian structures in which they live.  This is another Romantic value for it seeks to create change and "seize the moment" in order to establish the principles of change.  In making this clear in his essay, Thoreau embodies another Romantic ideal in his essay.