I have never actually tried to do that but I have two solutions for you. One I know will definitley work, the other I'm not sure about and cannot try it since I'm currently erasing mu iPhone and restoring it.
Solution 1:
If you can access the file system with something like WinSCP ( windows) or Fugu or Cyberduck if you have a Mac. You can replace the lock creen wallpaper file in the exisiting theme with the wallpaper you want. then go back into Customize and reapply your theme. This method will permanently alter the theme files.
Solution 2: (again unproven)
In customize instead to going to theme browser, go to customize files ( i dont recall the actual name) IF you have an option in there for wallpaper, you might select it and it will override the wallpaer from the exisitn theme. This method, if it works, would preserve the original theme files. I know this method works for other graphics like battery, bars, note pad theme, but I have never tried it for the wallpaper.
If you need instructions on how to set up and use FUGU or Cyberduck you can look here:
Using SFTP in OS X with iPhone - ModMyI - Wiki
For Windows and WinSCP:
SSH on Windows - ModMyI - Wiki