Depends where you got them from. They should be stored in a folder in your Gallery. I have one set in a "Backgrounds" folder, and another set in a "Wallpapers" folder.
If you are stock, go to settings>>display>>wallpaper settings and select one of the options in the pop up. Media Gallery should have all your photos, plus folders of any downloaded WPs. If you select Wallpaper Gallery, you get the few stock ones that came with the phone.
If you are using LauncherPro, hit the Menu hard button and select Wallpaper, and you will see the same option pop up as above.