Now that I've drudged through the process so much I can probably help you quite a bit.
As you probably know, character skeletons are a hierarchy. In order to isolate one part of the skeleton for exclusive animation, you need to identify the node/bone that this animation will be allowed to control up to, and assign a Mixing Transform to that bone.
In the scenario you outline, you want to combine the movement animation (walking) with the interaction animations (attacking).
Tell your character to play the movement animation under whatever conditions are necessary (when Joypad up is pressed, etc). That much of this process is the same as the normal workflow.
Then identify the highest bone in the hierarchy that the attacking animation should be allowed to control. In my case it was the shoulder, because my character was swinging a weapon around and all I needed was the arm motion.
To mix the animations together, assign a Mixing Transform to the bone where you want the new animation to stop affecting the characters (and be sure to put the whole path in, which turned out to be my latest stupid mistake), so you should end up with a Mixing Transform assigning an animation "Attack" to a specific bone in the hierarchy: "pelvis/spine/ribcage/rightShoulder".
When the conditions for playing the Attack animation are met, the animation will take over every bone on the character starting at the node you specified for the Mixing Transform, as well as all child bones(so in my case, the bones: rightShoulder, rightBicept, rightForearm, and rightHand will play the Attack animation, while the rest of the skeleton continues to play whatever other animations are appropriate.)
I could probably clarify this much better, so let me know if that doesn't make sense. I'll send you a screen cap of my FSM for this too, if that helps.
Regards.