To change "slide to unlock" go to the main page and hit Edit System Strings. Look ALL the way the bottom of the list. As far as your wallpapers I don't understand what you're asking. You go to Customize Images/Sounds.. then the Wallpaper folder.. then Wallpaper.. and finally choose from the list.
In order for it to show up you have to go to Summerboard and select the Customize theme and make sure theme wallpaper is set to ON.
You go to the SUMMERBOARD program :-). The icon on your springboard should be SMBPrefs (Summerboard preferences). If you don't have summerboard you have to go into Installer and install it from the System folder.