Well go to winterboard and tap the user wallpaper setting, then go into your pictures app and select a wallpaper like you normally would. that should help XD
You have to drag user wallpaper above the theme. Winterboard prioritized from top to bottom. So if the theme is above the user wallpaper or dialed or whatever the theme wins. So use the little bars on the right in winterboard to drag it to the top.
1) If using "User Wallpaper" theme, make sure it is placed on top of the UMICON Theme in winterboard.
2) If you want you can simply replace the Wallpaper.png with one you like better in the UMICON.theme file by sshing it into the phone. /Library/Themes/UMICON.theme