No walk-through on my end. Yet. There's still a great one on Brushthralls though. Check it out.
Anyway, the basic principle of using glazes to highlight is that instead of doing big, bold swaths of color (or god-forbid dry-brushing), you do big swaths of not-so-bold color. To clarify: instead of using undiluted paint and either creating big chunky highlights, needing to feather everything to a high degree or mixing a billion shades for a gradient you can cheat and do more with less.
Adding glaze medium to a paint, does a number of things: it adds fluid to the paint without getting the weird color separations of pigment you can get from water AND it makes the paint transparent (based on how much glaze you added - more glaze = more transparent). As a bonus, if you use the Vallejo glaze medium (which I do and recommend), it acts as a drying retarder allowing you to use two brush blending very easily.
Basically, you build up layers of lighter and lighter colored glazes (I'm talking color, not transparency here) to create highlights. This is often called "layering". The transparent nature of a glaze, means that some of the color underneath the glaze will show through. This allows you to build a very subtle highlight very easily. You don't have to use two-brush blending, but if you don't, you run the risk of having clearly defined patches of color with a distinct border.
Luckily, the glaze medium acts a drying retarder and keeps the paint wet for a while (consequently, drying times go up, so be aware - you will have to wait at times for paint to dry before you can add another layer of highlight). and allows for easy blending. This will help get rid of distinct color borders.
There are some other things you can do with glazes, but I'll go into those later. As for now: get some Vallejo glaze medium and read the tutorial on the Brushthralls site: