We are starting a new group walk. Is there a way for our group members to delete their previously recorded steps?

No, and you don't need to do that. That is not how World Walking works.

We created World Walking to motivate people to walk more over time, not to handle stand-alone walking 'challenges'. With World Walking, each user has their own dashboard whick keeps track of the total steps they have walked since they joined. If they have steps in their bank which they do not wish to spend on the new 'challenge' they could start a new solo walk and spend them on it to 'get them out of the way'.

When your group starts a new walk our system allows the group members to view the number of steps which each member has contributed to that specific walk: