Before getting excited and trying to change your wallpaper, find out your screen resolution first. The following list will assist you (all resolutions are in pixels):
Storm: 360x480
Bold: 480x320
8800/8700/8300 Series: 320x240
8100/7100 Series: 240x260
8200 Series: 240x320

click to enlarge
Then resize your pictures to the resolution that your handset supports and copy the pictures into the Pictures folder under Media. You can do that by either connecting your handset to the computer or by downloading images from the Internet.
When you are done with the Pictures, go to the Media icon in your main menu, then go to the Pictures folder. Inside you will see the thumbnail previews of the images that you have placed in your device. Select one by rolling your trackball (or the wheel depending on your device) and then click the menu key. In the opened menu, select the “Set as Home Screen Image”option and that’s it! When you go back to the menu you will see your image as the wallpaper.
There are many sites on the Internet where you can download free and commercial wallpapers as well as themes. I suggest you give them a look, you may find something that will fit nicely with your personality. Or else, copy your favorite images on to your handset and change them whenever you want.
Screenshot courtesy of Technipages.