Whenever I am going to spend a night somewhere, I simply Google 'hotels in xxxx' and there's a zillion choices of booking sites to choose from.
As a former Milwaukee resident, anything west of the Milwaukee River and south of Wells St (4 blocks north, parallel to St Paul, the street the station is on) is quite walkable. Be sure to have luggage that rolls easily. I think the new Milwaukee street car, The Hop, which boards almost in front of the station, may also pass by a couple hotels east of the river. Check out their site for a map and compare that with hotels like the Pfister, etc.