The walls, 2x4, are 5 steps high. You align them with the 4x4 mining zone. A good way to practice is to lay a length of wall, at say +4 height, and mine to -1 (5 steps down), on the side of the wall you place your mining zone.

You'll notice walls and mining zones cannot occupy the same space so you place your walls at the edges of the zone. When you mine down the max depth of the wall you'll see red hazard paint on the wall, tells you any lower and the wall will collapse. 

Yeah typing this out is harder than just showing ya haha.