from what i can tell, you need to open one of the files from the assets folder, in the items folder in there, then the en folder, there should be some backgrounds, open one of those and then modify it how you want, put a new ID for it in and compile it
i haven't tried using it much, so there may be more involved, but i'll look into it and try to see
edit: actually, you can just hit the new wallpaper button rather than opening one, i was having trouble getting it to work on WINE, but you can import the wallpaper and everything that way (click on the square where it says "wallpaper" to import the image, if it has more than 16 colors the program will reduce the number for you)