open your Micro SD then go to _system_/themes/ then pick any folder to put the theme file in, when it prompts you to overwrite the files, click yes to all, oh and to change through the list of themes on your DS, click the select button
You can make any wallpaper you want. Just make the graphic the right size and name it to one of the old files. I have a micro card that has a family pic as the R4 wallpaper.