I usually walk across them when I'm in ped mode. It's the right thing to do. As mentioned earlier it's generally not cool to ride in crosswalks.

Sometimes when I hit a red light when in vehicle mode I'll go ahead and switch to ped mode after stopping. Why? No reason really. I guess since I've already stopped maybe a nice stroll across the street might be nice to stretch the legs. If I get stopped at a light within a couple of blocks of my destination, I'll often walk the bike the rest of the way.

Those safety manuals you speak of are pretty silly. It's generally better to stay in vehicle mode and take a lane than to switch modes to get across a street.