Scratch

One common way is to make an animation.  You do that by creating a series of costumes, each with the legs in a different position.  Then, you make a loop that changes the costumes quickly and it looks like the sprite is moving to your eye.  You can see a simple of example of this by opening up a new Scratch Project and looking at the cat sprite.  You will see two costumes.  If you make a script for the cat like:

[blocks]
<when green flag clicked>
<forever>
<next costume>
<wait( .1 )secsc>
<end>
[/blocks]

and run it, it will look like the cat is moving it's legs.