I've done several heart and sapwood combinations. I'm far from an expert, and hopefully others will chime in to correct any bad advice I may give. However, based on my experience, the different densities will make the blank feel off balance, and they will cut and sand differently too. Dario and Cav's suggestions about CA are good ones from that perspective. Since walnut tends to be somewhat open grained, I would suggest that, once you have the shape you want, you hit the barrels with a blast of compressed air, wipe with denatured alcohol, wipe with a tack cloth, or otherwise try to remove any residue. Then re-apply CA or apply another sanding sealer (preferably several coats) before you start sanding, this way you seal the grain. This is very important to prevent "bleeding" from the heartwood into the sapwood. Carefully sand everything down 'till the sanding sealer fills the grain (i.e. sand off the sealer over what would otherwise be the "smooth" part of the wood), then continue your sanding routine. As Travis said, the dark sandpapers can leave a black residue in open grains; the sanding sealer will help prevent this, but won't completely eliminate it. You'll still see some residue in the blank, that's why lighter colored sand papers are recommended. Also, be sure to clean the blank periodically (preferably at least between grits) to help remove any sand paper dust that accumulates on the blank, since this dust will also likely include pieces of the "sand".
