I think that when your city reaches level 2, and if you chose the fortress type, then you should get walls for free right then and there.
Other towns and conclaves should still be able to build walls...you just have to queue them.
There also should be a spell to cast 'walls' on your city, imo....as well as 'firewall' and 'wind wall' and maybe even 'moat'. This way, each of the elements has some way of magically defending there cities. Each would have unique aspects:
Stone Wall: Prevents movement and blocks line of sight for ranged attacks expept at gates
Moat: Prevents movement expect at drawbridges. Does not prevent line of sight.
Wind Wall: Prevents line of sight for ranged attacks. Does not prevent movement.
Fire Wall: Doesn't prevent anything, but does damage X per unit passing through the wall.
As to having multiple walls at the same time? Maybe....
Just some thoughts...