The best strategy for exploring the neighborhood's arts scene is to begin at the foot of the road, at Paseo del Peralta (just a few blocks east of the Plaza), and work your way up the hill to about Palace Avenue, which is where the last of the galleries are. The walk is a bit more than a half-mile, and it takes 20 minutes or so without stops, but can easily take up several hours if you duck in and out of galleries and the occasional boutique or cafe. You might consider walking back down Acequia Madre, a historic residential street that runs parallel to Canyon Road, if you'd like a little variety. Or you can walk back to town by turning left onto Palace Avenue and following it back west toward the Plaza.
If you have more time, try continuing farther up Canyon Road past the galleries and into the residential area, which is rife with fascinating old adobe houses, many of them handsomely restored. Eventually you'll come to the world's largest Spanish-style adobe church, Cristo Rey.