As the presence of autonomous robots in public spaces increases-whether navigating campus walkways or neighborhood sidewalks-understanding how to carefully study these robots becomes critical. While HRI research has conducted field studies in public spaces, these are often limited to controlled experiments with prototype robots or structured observational methods, such as the Wizard of Oz technique. However, the autonomous mobile robots we encounter today, particularly delivery robots, operate beyond the control of researchers, navigating dynamic routes and unpredictable environments. To address this challenge, a more deliberate approach is required. Drawing inspiration from public realm ethnography in urban studies, geography, and sociology, this paper proposes the Walk-Along with Robots (WawR) methodology. We outline the key features of this method, the steps we applied in our study, the unique insights it offers, and the ways it can be evaluated. We hope this paper stimulates further discussion on research methodologies for studying autonomous robots in public spaces.