Its important to remember that "knee" is a general term. "My" knee injury or pain may not be the same as yours in terms of the structure that is actually compromised, tense, or damaged.
Having said that, a couple of thoughts...fwiw, I am a former rehab R.N., have had acl and meniscus surgery, and while recovering from it, did some research on knee injuries in aikido...even so, please take what I say with the same grains of salt as anybody else...
Many people experience knee pain that is actually tight and/or weak quadriceps (thigh) muscles. If so, adding both strength training and stretching for quads is a good idea, AND if so, its essential to do the same for the hamstrings. Otherwise there is an imbalance that can actually put the knees at risk for injury.
I had a couple of athletic coaches and physical therapists tell me that in their opinions the "moving the knees in a circle" is NOT harmful (if done slowly and softly) and is a gentle warmup. On my survey they were NOT associated with dojos having higher knee injury rates...link is http://www.zanshinart.com/Aikido/Write-up1.html#warmup
Bear in mind that no over the counter "bandage" or neoprene type brace is going to "protect" your knee. It will provide compression and warmth, which may be good things, but it will not prevent injury. I agree with those who say that the weight you are carrying is placing great stress on your knee joints, but meanwhile you are here, you are walking and training, and you are wise to look for other guidelines to reduce risk.