I've considered both and to be honest, I haven't yet decided. I'm leaning towards the open design (possibly round holes through girder-style construction) but haven't come up with a design I really like yet.
Part of the problem is knowing how big the need to be so as not to look stupid. Additionally, they really do have to support the weight of the model - I have always regretted having a plastic support for my previous walker (pictured)

so a lot more thought will go into the functionality of the legs this time, as well as the style.
It's going to be a long job...
(more on the small walker at
http://colonelotruth.blogspot.com/p/doktor-schleissbaums-steam-walker.html