In this quote, Squeaky is explaining that when she is walking around Harlem doing her breathing exercises, she has to keep Raymond between the buildings and herself. She needs to be the one on the edge of the sidewalk, near the curb.

This is because Raymond tends to get lost in imaginative play. As Squeaky explains, he will often pretend he is a circus performer and that the curb is his tightrope. He will jump off the curb into the gutter, which can be filled with water. He then gets his shoes and pant cuffs wet, which means Squeaky will get in trouble at home. Other times, he suddenly runs across the street to the island in the middle of Broadway to chase the pigeons, which upsets the older people on the park benches there. Squeaky, therefore, positions herself on the curb side of the sidewalk whenever she is with Raymond. This characterizes both Raymond and Squeaky sympathetically: Raymond is imaginative, and Squeaky is practical about dealing with him.

Though it may be a bit of stretch, it is also possible to go back after finishing the story and read this quote as meaning that Squeaky unconsciously internalizes Raymond as a part of herself.