After you mount your phone as a usb drive and everything, navigate to your phone and just drag and drop the files onto your SD card, preferably in the photos folder.

Then just long press on your home screen and select wallpaper, and then use it. Or go through settings.

Also, wallpaper size is 960x845 for the three home screens.

 

I would put them in the DCIM folder but really you can just put them wherever you want. You could put them in a \photos folder if you wanted or you could just drag and drop them on there anywhere.

It's all a matter of organization and personal preference.

 

Long press on it and select save.