The transition of the walk cycle is your problem here. The trick is to have the transition use as little movement of the mesh as possible so the "slide" is less notable.
Lets take a quick look at a walk cycle taken from
http://www.idleworm.com awsome 2d walk cycle animation tutorial.
And here is a stand frame... imagine it is a idle look or w/e.
Now even before you start fiddling with all the animation controls in WME... there is a few things you can do in the animation itself to minimize drag. Now for this example i am using "RECOIL" but in fact you want to use "PASSING" it is just that it is easyer to see my point on "RECOIL"
The 3D data in WME (and most other places) is taken as a start point from your pivot upon the unanimated mesh in world space. Now most people will place this pivot in the center middle of the mesh, but on the ground plane. BAD IDEA. This is where you normaly put it for rendering animation withc is why almost all 3D tutorials will tell you tp put it there... but in a game like WME it is using the MESH itself not just the rendered look of each frame.
Move this pivot back under the line of one of the legs, leaving the mesh itself at 0,0,0. (so JUST move the pivot). Now look at your animation cycle. each walk/run cycle will have a cross over frame where the one of the legs is hardly moved from the start position, mabey a little bit but not much... most likely just a bent leg like in the picture.
Now the walk cycle will just loop though your animation... so once you are moving everything is cool. The trick here is to make as little movement to get to the first frame of the loop as possible. (remeber you need to use "PASSING" not teh one i used .. i just used that to make it clear)
See in this image.. when you transition form the idle cycle to the start of the walk cycle with the pivot point in the middle... you get a noticeable slide as both the back, front legs, and arms are "sliding" both backward and forward on the spot. So the body itself is standing still while the legs and arms move left and right to get into position.
With the pivot itself on the base mesh in the correct place. The only movement needed to move the mesh from idle into walking is a slight bend of the knee, and the front leg moving forward as well as the body moving forward. So in fact you have turns the "slide" into a step off animation transition, that then blends directly into the loop cycle. So now the "slide" is a feature that give you a nice looking "step off"
Hope this help.