If you are looking at a wallpaper on the Web, tap and hold the picture. You should get a pop-up that offers you the chance to save it (it will be saved in your Photo app.
Then, go to your Settings app. On the left side will be a line "Brightness and Wallpaper;" press it. You'll then see a line on the right to select wallpaper (photo album). Press it and you'll see thumbnails of the pics in your Photos app.
Select any one of them and it will open. Finally, up in the right side will be buttons to make that picture be for the lockscreen or for the homescreen. Pick one and you're done.
Hope this helps.
Marilyn