Basically, you just mount your phone via USB and place the images on the sdcard. Ideally you would want to create a Media\Wallpaper folder or something to put them in to stay organized.
Once the images are on your phone, you unmount, long press on any open area of your screen and select set wallpaper (or hit Menu > Wallpaper). Then choose gallery and you should see whatever folders you dumped them into. It will scan the entire sdcard so their location really doesn't matter, it's more of an organization thing as I said.
You could also just text them to your phone, or send them to gmail and download directly through your phone without having to mount it.