I don't think it's necessarily a problem. Some famous runners had long careers despite pronating. Whenever I tried to fix it I created other problems. Most books I read recently recommend not focussing on the feet but on the hips through strengthening and stretching.
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Personally, I feel like it's far better to address the root of an issue, rather than band-aide it.
Why not do the work to correct, or at least decrease, the actual issue?
You're probably right, I wonder what I'm suppose to do to fix it. Is it just being aware and trying to correct it while walking?
I’m not a physical therapist, but every time I’ve worked with one my issues have been due to some sort of imbalance in strength or flexibility, and less about not just using my body right. There are a load of exercises that address over pronation online, but I can’t speak to how well they work because I don’t have this issue myself.
Personally for me, when my calves get tight I tend to over-pronate. It's not really about being aware of it when walking/running, it's just that my ankle doesn't have enough flexibilty so my body finds that flexibilty by collapsing the ankle inwards instead. But it can be caused by weakness as well, in the ankle and/or the hips. If you're concerned, it's worth seeing a physical therapist who should be able to help you figure out what causes the over-pronation for you personally.
If you google pronation exercises a ton come up.
Even runner’s world has an article with exercises here
Do your feet and legs hurt if you don't use the correct shoes?
That's not always a tell. I managed to give myself a stress fracture without noticing because I was over pronating.
Nope, not at all. Is there some more long term effects to pronation or am I fine just going about how I normally do?