With the Locomotion Behavior
A Locomotion Behavior can load several animations into this behavior and Golaem will automatically choose the right motion (or blend of motions) based on character (particle) speed and the translations contains in these motions.
Using the Locotion Behavior
A few tutorials using Locomotion Behavior can be found here:
Creating a set of motions for Locomotion Behavior
If you are building your own set of motions to be used in a Locomotion Behavior, The relative speed/orientations of the created motions will have a big impact on the final animation quality.
You will find detailed information in the following tutorial.
Better understanding the Locomotion Behavior
Several details about how the Locomotion Behavior works can be found in the Locomotion FAQ