Place the cream cheese in a bowl and beat with an electric mixer until lightened. Mix in the cheddar cheese, onion, parsley, horseradish, salt and pepper. Lightly dampen your hands with cold water and shape the cheese mixture into a 2" round log. Spread the nuts on a plate. Roll the log in the nuts, gently pressing them on. Wrap and refrigerate the cheese log at least 2 hours before serving.
Note: To coarsely crush the walnuts, place in a zip-lock bag and use a kitchen hammer to hit and break them into smaller pieces.