Mostly notes to self for future whatnot:

The Eugene Walter Collection resides at Auburn (as does the Truman Capote collection.)

There is also an Eugene Walter Archive at U Texas Austin, which includes issues of Botteghe Oscure, which he co-edited with the Princess Marguerite Caetani (about whom very little seems to exist in English.)

Backissues of the Paris Review are available. Not, of course, the 1950's ones that Walter was in - but they do have lovely thumbnails of the covers.

Besides being an author, playwright, actor, translator, lyricist and editor, he wrote cookbooks - including this one.

IMDB lists a mostly complete filmography and a totally incomplete list of credits as a lyricist.