Prick potatoes with a fork. Brush with cooking oil. Place potatoes on a microwave-safe plate in microwave oven.
Microcook on 100 percent power (high) for 3 minutes. Turn potatoes; microcook for 3 to 4 minutes or until potatoes are tender. Halve lengthwise. Scoop out pulp, leaving thin shell.
In a large bowl, beat together potato pulp, cream cheese, 2 tablespoons of the blue cheese, and 1 tablespoon of the walnuts until combined. Add milk to make desired consistency (1 to 2 tablespoons). Spoon into shells.
Arrange filled shells on microwave-safe plate. Microcook on high for 2 to 3 minutes to heat. Top with remaining cheese and nuts. Makes 4 side-dish servings.