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Some types of sport socks are designed with extra padding in certain high-impact areas. For example, some brands of socks, such as Thor-lo, have extra padding in the heels and forefoot area, which some manufacturers call "impact zones." Some sports socks have extra stretchiness in the arch or extra padding on the top of the foot, below the shoelaces.
Read the tags. Some socks that that don't have much padding can be used interchangeably for many activities, but socks that are specifically designed for hiking, for example, are meant to fit well in hiking boots, and they might be too thick and padded to fit well in sneakers.
But socks described as padded for running can certainly be worn for walking and any other sport, and if you have orthotics or other shoe inserts that require you to remove some of the extra cushioning from your athletic shoes, you may appreciate getting some of that lost padding back by wearing thicker socks.