I released my my walker class as a super easy to use plugin (This doesn’t even require you to change your wp_nav_menu commands as it uses a filter to add it). I’ve submitted it to WordPress.org so I’ve linked to it below.
Just install and activate it, and then you can go to a page and mark it as Members Only.
Now featuring full support for wp_page_menu AND wp_nav_menu. Tested on WordPress 2.9+. Also fully compatible with PHP 4+!