Hello cassandranne, and welcome to Android Forums.
You can use your file manager to move things around. "My Files" is the stock app in many Android devices. Better yet are the many 3rd party file managers available in Market, most free.
You'll have to go in and explore for a while, to learn what is where.
But it's well worth the trouble. You'll find folders with names such as "media," "wallpapers," "backgrounds," etc. It can be a bit daunting, but once you figure out where the stock wallpapers are in your device, you can start moving other pics to that folder.
To me, the best way to do that sort of thing is using a computer. Make sure your USB debugging is checked, in menu > settings > applications > development. Also make sure you select to not "charge only" when you connect your USB cable from your phone to the USB port on your computer.
You can explore and manipulate files that way once you have the drivers for your device installed on your computer:
[Drivers] MS Windows x86 and x64 USB Drivers for Samsung Galaxy S - xda-developers
Those driver files are for Windows. If you have a Mac or Linux box you'll need to do a search.
Good luck. Have fun.