Here's the way to set your lock screen wallpaper. Go to Settings>Wallpaper and tap on Choose a New Wallpaper. You then select from among the provided dynamic and still wallpaper photos or from your own photos in your photos app. Once you make your choice you'll come to the wallpaper preview screen where you can select to use the chosen photo as lock screen, homescreen, or for both. Once you tap the button for your choice it takes but a few seconds to finish and your new choice will be visible.