Guide

You can  save the desired wallpaper to your Mac or PC via your favorite browser.

First, you can select on your desired wallpaper till it shows full image, then

1. Right-click or control-click on the image you want to use.
2. Select “Save as…” and save the image to your hard drive.

Now,  on your iPhone

1. Launch iTunes, then click the Photos tab and select “Sync photos from:”
2. From the pop-up menu, do one of the following:
3. Choose any folder on your computer that has images you’ve saved before.
4. Choose “All photos,” or choose “Selected folders” or “Selected albums” and choose the folders or albums you want to sync.
5. Then, go to your iPhone again, goto the Photos section of your camera. Browse through the albums or camera roll until you find the picture you wish to use.
6. Tap the icon in the lower left corner of the screen. If you don’t see the icon, single tap the picture to display the menus.
7. 
8. Here you can select if you want to email the picture, save the picture as a wallpaper, or assign to a contact.
   
9. If you want to assign to a contact, press that button. The contact list will open and you can select the contact you wish to link to the picture.
10. Select Done to complete the process.

You can then sync the iPhone with photos in iPhoto 4.0.3 or later on a Mac, or Photoshop Album 2.0 or later or Photoshop Elements 3.0 or later on a PC. Or you can sync with any folder on your computer that contains images. Connect the iPhone to your computer and do the following:

How to save : Click any of the image that you want, After it show up, then right click on the image and choose “save as”