You might have noticed that the title of this one is the same as the first line. If you did, good catch. If you didn't, well, maybe next time. In any cae, there are a couple things to consider with this title.
This poem has been published untitled as part of a section called Songs and Other Musical Pieces. It has appeared under the title "One Evening." And it has been published with the title as it appears here: "As I Walked Out One Evening."
Titles are usually a pretty important part of a poem. They can give key information or set a tone that influences the way the poem is read and understood. That said, this title acts more as a reference marker than anything else. The poem functions pretty much the same way with or without the title.
According to Edward Mendelson's Editor's Preface in W.H. Auden Collected Poems, Auden was known to change the titles on his poems from time to time as his attitude toward titles in general changed. See, even one of the greatest writers of the 20th century changed his mind occasionally. So, the next time someone is giving you a hard time for changing your outfit 8 or 9 times before leaving the house, tell them it's a sign of genius.