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How do I add new exercise types or locations?

Add new exercise types and locations using the Walking Log/Maintenance settings admin menu.

Does the plugin clean up after itself when it's deleted?

Yes, the plugin cleans up all options and database tables it creates when running as a single blog. When running in a multisite network it will not delete tables since this could be a very time consuming operation on a large network. This could also be a dangerous operation since there is a risk of accidentally deleting a lot of data.