You need to add it to your theme folder manually. To do that you need to know how to access the files on your phone via SSH or a USB-based program like iFunBox or iPhonebrowser. Can you do that?
Cool, then find the theme folder and you'll see the default background image for the theme?just replace it with your own. Make sure you use the exact same name?it IS case-sensitive?and then just respring.
ok so i found the file(i think), the name is lockbackground~inactive.png however when i open this file there is a wallpaper but my lockscreen has no wallpaper its blank. Also wen i name the file i want as my wallpaper lockbackground~inactive.png and drag it in it asks me if i want to overwrite the original lockbackground~inactive.png, i choose yes and the image has not changed. plzzz help