I have a Uberti Walker that I shoot a lot. It is a tempermental SOB but, once you figure out a few things it is fine shootin' iron.
Before I ever shot mine I took it completely apart and everything, except the grips were wiped down and then fully covered with Bore Butter. Onto a cookie sheet and into a 200 degree oven for an hour. I pulled the hot parts out and wiped some more Bore Butter on them, let it cool then wiped off the excess. I don't know if this "seasoning process" works, but an old timer around here told me to do it. I knew it wouldn't hurt so I did. Long story short, I don't have the cylinder lock-up problems to the extent you were talking about. I lube up that cylinder axel pretty liberly before shooting, those grooves in the axel are filled w/ Boore Butter when I start shooting. I can usually get through an afternoon's worth of shooting without having to address additional lubrication issues.
Something that might be causing your lock-up issues is a barrel wedge that is too far into the frame. This wedge will draw closer the barrel's forcing cone to the face of the cylinder as you push it from right to left. You can literally with a clean gun, run this wedge so far in that it will not cock. Try backing the wedge out just a hair when it binds, this might be the problem.
Caps - I have got to the point that I use digital calipers to mic. the exact diameter of the nipple and match the cap to it on these revolvers. Wrong size caps = chainfire - an experience that I am happy to say I have never had. On my Walker (Uberti) I find that the RWS 1075 caps are the best fit. They mic out just slightly under CCI #11's. Finally, the design of the Colt cylinder, on the Walker anyway, doesn't allow for easy dispersal of spent cap fragments. The biggest problem that I have in shooting the Walker are cap fragments getting stuck in the action and binding up the gun. The ones that manage to get themselves down the front of the hammer are the most troublesome.
Don't give up on the Walker - the one that I have (after making significant adjustments to the rear hammer notch) shoots rings around even my Ruger OA. I have hit coffee can size targets with mine at 120+ yards. That long barrel, even longer rear to front sight distance and fast twist make the Walker a fine shootin' instrument.