The balsa sheets that I am using are 3/32" thick so no, it definitely can't support a lot of weight on its own.  It is hard to tell from the photo above, but the balsa is sitting on a 1/4" MDF board which is much more sturdy.  For 'normal' sized buildings, I skip the MDF and just glue in some support beams made from 3/16"x3/16" balsa strips to the bottom of same 3/16" balsa sheeting.  

As for the process I use for the walls, I do have a half-baked tutorial here: Half Timber Walls
There are no photos yet, but the text describes the steps I go through.  I'm painting the walls a little differently on this project, but the basic steps are all the same.  As long as you have a sharp exacto knife, the whole process is fairly easy - it just takes a few days to complete a structure due to the various steps requiring drying time.

@AndreasMS - don't lose heart.  Modular dungeons are a little different than the 'monolith' project such as this one.  If I didn't plan, cast, paint, and assemble as I went it would be a lot of (messy) work later.  I can't imagine trying to paint the interior walls after they had already been assembled and glued into place...  Anyway, I recommend finishing a small part of your project from casting to painting and ground cover to get the sense of completion and to make sure all the future pieces will come out as you hope.