Should I record my EEG activity?

Yes.

EEG (electroencephalography) data provide a picture of the activity of different parts of the brain at any time of the night (when asleep vs when sleepwalking for example). So I would love to have this type of data as an additional variable.

What would be interesting with those data?

This would provide an additional angle to describe sleepwalking events (and probably to classify them) but also for example a way to dig deeper into the effect the different drugs I am testing are having.
EEG data might also show some interesting brain activity pattern when I am not sleepwalking but that relate to sleepwalking. And thus provide another window into assessing drugs effect for example.

So why don't I have EEG data?

It turns out to be a little more difficult than buying a video camera or a sleep tracking device.
EEG recording devices are sold to healthcare professionals, not the general public, and cost too much ($3,000 for the cheapest I could find) knowing that I am not sure to gain any additional information using them.

What about general public EEG recording?

There is some activity in that direction, mostly intended for video game use or some more general IT application. One example is Emotiv.
But those devices are not intended for sleep and I believe will move enough around my head during the night to render the data useless.