Does starting a new game erase all event-only routes for the PokeWalker?
If I start a new HeartGold or SoulSilver game, will I lose all my downloaded event-only routes?
If you reset your Pokéwalker, you will lose any Watts and steps, but keep your routes.
If you start a new save file, yes, you will lose all of your courses.
Source: reply #5 and #6