Two things:

1. “Through” is an adverb, modifying “walk”, which is normally a verb but in this context operates as a noun, which makes “walk-through” a compound noun. If the sentence is phrased any other way — e.g: at the beginning of the celidh, we walk through the new dances — “walk” goes back to being a verb. To help the reader identify a compound noun, it should be hyphenated.

2. In a sentence such as this: “Sgt Bloggins was convicted of theft by Summary Court Martial”, “court” is a noun modified by the adjective “martial”. When you kick it up a notch and make it plural — “Sgt Bloggins faced three Courts Martial before the chain of command got him convicted of theft” — we note that the plural “s” attaches only to the noun. In English, nouns have plural forms but adjectives do not.

Trust me on this.