Well here's the best explanation I can think of, so I hope it helps, as to use winterboard, it's a good idea to know exactly what it does for you and why it's such a powerful tool...
Winterboard basically works as something like a hierarchy...when you download packages and themes off of Cydia or Icy that are winterboard compatible, they will automatically show up in Winterboard. When you open winterboard, you can tap on the items you want to activate and it will place a checkmark next to it. You will also notice you can drag things up and down spots in winterboard.
That's where the hierarchy comes in. Lets use my theme for an example, I use the Illumine theme, so I have that checked. I also downloaded different color chat bubbles and a different status bar. If a theme has those things built in, you can over-ride certain aspects of a theme. Say I download a theme and I really like the icons but I don't like the lock screen or battery icon, well, I can download one I DO like through Cydia or Icy, it will show up in winterboard, I check it, and drag it ABOVE the theme I am using. It will over-ride the item I don't want from that theme. It allows you to tweak to your liking. If you like the entire theme except for the chat bubbles that came with it or a certain little detail, you can change it. For example, search "SMS Balloons" on Cydia and you will find packages for winterboard of JUST SMS bubbles, and when they install, check it, drag it above the theme, and it will over-ride only the chat bubble part of the theme.
Now as far as using your own wallpaper, there is a setting built in to winterboard called "user wallpaper", check that, and drag it to the top, you can then choose whatever wallpaper for your lockscreen you want from your photos, and it will then show up as your background as well
Hope this helps just a little!