So far all I really know is that the leidenfrost effect would work, just not exactly how the species would have evolved it, but I do know it would require a store of water, likely like that of a camel. I plan on it being mainly carnivorous, though may also eat volcanic ash and some surrounding plants, and they would be a social sapient.
For evolution to work, a feature must give an advantage to the creature bearing it so that it can more effectively survive and reproduce.
In the usual circumstances of volcanism on Earth, volcanic eruptions are often very infrequent (so that the expense of having what you imagine is way bigger than the benefit it brings). In the cases where they are frequent enough for the economy of the biology behind it to make sense, they make for a very harsh environment.
Making it a carnivore is even worse, because carnivores rely on herbivore to thrive, meaning the trophic chain must be well developed, which in an environment where volcanic eruptions are very frequent is unlikely: it take years for just lichens to grow on a cooled down lava flow, from lichens to sapient carnivores is quite a jump.
If your lava was flat enough to let Leidenfrost effect work, it would be very slippery. Your species would have trouble staying upright.
How are they running across lava? They might manage a quick dash across some semi-solid lava. Here's a nice video on walking on lava.
Anything longer than a quick dash is not going to be easy. The power you radiate goes roughly as the fourth power of absolute temperature. You will approach an equilibrium state where you are radiating power at the rate you are absorbing it. If you are beneath a cold night sky that takes half of your radiation and returns nothing, your temperature will approach 0.5^0.25 = 0.84 times the absolute temperature of the lava. If the lava is at 500C, you will be at 384C. If you are doing anything other than a quick dash, you are going to cook. You could squirt out water from your backpack to keep cool but that won't last long.