Preheat oven to 400 F. Line a baking pan with non stick foil. If the skin is too tough to cut, place kabocha in the microwave for 1-2 min. Cut the squash in half.
Spoon out all the seeds and cut into wedges. Lay the wedges on the prepared pan. Spray the wedges with non stick cooking spray. Bake for 30 minutes, Flip squash over and spray with cooking spray again. Bake for 10-15 min or until it is cooked. Let cool. Once cooled, peel or cut off the skin with a knife.
Measure out 2 cups of cooked squash, without the skin. Use the rest for another time.
To make pies, preheat oven to 425 F. Spray 4 ramekins with non stick cooking spray. Add 2 cups of squash (without the skin) and the rest of the ingredients, except the walnuts to the blender. Blend until smooth.
Pour mixture into ramekins. Bake for 15 minutes. Reduce heat to 350 F. Remove ramekins from oven and evenly distribute the walnuts on top of each ramekin. Bake for additional 25 minutes.