A long time ago Roberto Colombo developed a tool that allowed you to add custom motions to the Motion Puppet: https://forum.reallusion.com/307862/My-XMas-gift-for-the-whole-RL-community.

However, reading through the thread it seems that his tool no longer works because of changes in iClone.

So I would also be interested to know how one would add motions to the Motion Puppet.

---

I found the related file in:

Reallusion\Template\iClone 7 Template\iClone Template\Preset\Base Motion

but it appears that additional information is needed besides the motion file.

iMotion
ini
ipose

Here is a link to a video that helped me.
You need to go to iClone Template and find the Preset Folder.

The video explains how to create a new folder. Make sure to put the walking motion in the Motion Puppet folder.
Apply Heidi's standing and talking motion to your character. You take the 3 photos from the folder you want to use.
You have to name your folder Base (capital B) something (Motion Cap M). Then you have to make another folder inside the Base folder and
name it whatever you want (but it needs to start with a Capital letter. Make it a simple one word folder. Then inside that folder are the 3 photos from the move ,
the ini file you rename (you copy the ini file from one of the preset iclone folders Idle, Move, Mood Talk) (you want a walking motion, copy ini file from preset move folder and add to the 
new folder you have the motion in. Then you rename the ini file exactly as your .imotion.) 
Look at the photos below. You can name your folders the same as I have. 
Make sure to convert your motion to iMotion. After you are done adding the files and motion files, you have to restart iClone.
The last 3 folders are the ones I made. You can copy the folder names exactly how mine are. Once you get the hang of it,
you can name your own folders. The last photo is from the Motion Puppet with my character having Heidi's stand and talk motion, 
and my walking motion I purchased in the Marketplace.
You can clear the motion puppet and mask out the legs and torso (green) in the photo.
I hope I explained it good enough. The photos should make it easier.
I thank God for helping me.

Thanks so much... Now done!

https://m.youtube.com/watch?v=boS4bzn7DhU&t=22s

Now, here comes my own version with little changes... Is still same but the only changes is that, the puppet tools only works with imotion not rlMotion... So, I talked about how to convert the rlMotion to imotion for people that doesn't know before.