Easiest way I did it (no messing around in .rc's) is to find the wallpaper file in your theme directory and replace it with your file. You have to rename the wallpaper you want with the old one's name. So for instance, this is what I would do in my case:

- Go to C:\Litestep\Themes\DarkZone\Wallpaper
- Find the wallpaper file that applies to me (1024x.png or whatever)
- Delete it
- Copy the wallpaper I want into C:\Litestep\Themes\DarkZone\Wallpaper
- Rename it (1024x.png or whatever)

And now it will always be there when you start the system / recycle.

If your wallpaper doesn't perfectly fit the desktop you may need to go in the appropriate .rc and change "streched" to "center" or "centered" (don't know which) to stop your wallpaper from stretching.