The green outer skin should split to reveal the nut shell inside. Always wear a pair of gloves when removing the skin or you will have brown stained hands that will stay like this for weeks!

If they are falling NOW then that is because there is a problem with them. If you inspect them you may well find insect damage. The healthy nuts are normally harvested when they start to fall much later in the season.
Pickled walnuts are made from the green immature nuts though, so you could use this approach if the nuts appear to be healthy.