There is a "Force Selecting Walker" option; however, it appears that when using the Functional hotkey layout, there is no key assigned this function by default, so you'd have to assign one manually. If using the traditional hotkey layout, the hotkey is Ctrl (either side). Note that this is not a priority inversion in the sense of DOS or Lix; but literally a "ignore lemmings that aren't walkers" (I believe ascenders ("jumpers" in DOS) and fallers might also be included, not 100% sure off-hand). Force-walker can be combined with directional select, and it is possible to assign it to RMB (or MMB) if you like - not sure off-hand whether the behaviour in such a case is "click immediately assigns to a walker", or "hold the other button and left-click to assign" like it would be with a keyboard key.
Alternative method could be highlighting (which works pretty much like in Cheapo or L3D). To highlight a lemming, (functional layout) hold Left Ctrl and click the lemming (traditional layout) right-click the lemming. You can then right click / ctrl+click a skill to assign it to the highlit lemming. I believe Ctrl + a hotkey for the skill also works, though I might be remembering wrong (or it might depend on whether Ctrl is configured as the highlight key - this is actually quite likely). Highlit lemming is remembered across timeskips even if the lemming despawns for any reason (including time-skips backwards to before he existed), though obviously the lemming must exist to be able to assign to it.