1. Heat oven to 400 degrees F.
2. Wrap beets individually in foil, twisting the ends, and place on a baking sheet. Bake 60 to 90 minutes, or until a fork easily pierces the flesh.
3. In a small bowl, combine the shallot, vinegar and a pinch of salt and pepper. Let stand for at least 5 minutes; whisk in olive oil to make a vinaigrette.
4. Remove beets from oven and unwrap them. When cool enough to handle, peel off the skin with your fingers or a small knife. Slice into wedges or 1/3-inch-thick rounds and place in a serving bowl.
5. Add vinaigrette and toss to coat evenly. Top with cheese, walnuts and arugula leaves.