Our second child had epilepsy and she would often sleep walk at night. The doctor told us it is not bad to wake a sleep walker and to wake her up and take her hand and put her back to bed.
Please refer to http://www.nlm.nih.gov/medlineplus/ency/article/000808.htm about sleep walking. This is a government site, with an article on sleep walking and it explains how it is not dangerous to wake a sleep walker. It is recommended you waken a sleep walker, so they do not injure themselves.
It's dangerous to wake up a sleepwalker because it may cause them a heart attack, shock or brain damage. Sleepwalking can occur at any age, but it happens most often in children ages 5 - 12. Sleepwalking is often triggered by disruption of regular sleeping patterns or fever.