Preheat oven to 450 degrees. Put beets on a baking dish, drizzle with about 2 teaspoons of olive oil and sprinkle with salt and pepper. Put walnuts on another baking dish. Cook beets for 15 minutes stirring once or twice. Put the walnuts in the oven with the beets and cook for 5 more minutes or until the nuts are fragrant. While beets and walnuts are roasting, make the dressing.
Whisk orange juice, zest, balsamic vinegar, honey and about ½ teaspoon of salt and ¼ teaspoon of pepper together. Continue whisking while you drizzle in the oil. Taste and adjust seasoning with more salt and pepper if needed.
When beets and walnuts are done, toss the arugula with the dressing and divide among individual salad plates. Top with beets, walnuts and cheese. Serve immediately.