You'll have to create a theme called something like SMS background, in that folder put your image you created and then activate it in winterboard or put the image inside the theme you are using, this is the the only way you can do it.
:-) any background exept on keyboard does not work,i dowloaded it here from our downloads in modmyi iphone themes but when i overwrite it nothing happen
There is a specific file name and location for everything. In 3.0 some locations have been changed. I suggest that you use the search and or look around in the file system. If you want something changed and are asking a question you need to be specific on what your trying to change. A simple Google search will give you tons of options also.
If you have a specific problem and have searched and can't find the answer the post in a forum.
I don't mean to be rude, but trying to teach or explain everything about iPhone images would take quite a long time. Play with it, make changes and back-up everything you change in case it screws something up you can fix it.