Is there any device for convenient control of device while walking?
It sounds like what you want is a presentation clicker. This is a small device used by speakers to control slides during their talk. Usually it uses Bluetooth HID profile, and is visible to the host device as a keyboard or mouse. Alternatively, you might already have a Bluetooth game controller (such as a Playstation controller). Android has support for these built-in.

There are also wired USB presentation clickers, and USB game controllers. If your device supports USB-on-the-go, you can use one of these.