If you are on the home screen click menu>options and there is a section there to change the wallpaper. You will have to download the lightning one because its not on the device.
I have tried to change the wallpaper. I go to a picture and the menu to set as wallpaper but it doesn't change it. I am using a verizon phone on gsm only. Have downloaded some nice wallpapers but can't use them. So I guess I still need help.