by the sounds of it, your on ios 4.2 or above. in this update apple have changed the file structure and the normal .png files will not work.
but you do have options.
op1 - save the images to your camera roll and use the "Wallpaper" option in "Settings".
or
op2 - use a lockscreen / wallpaper.html file. i am a total noob when it comes to code, so i cant help you there sorry. my advise is, if this is for your personal theme and you have no intention in distributing the theme, then you could download a theme that already uses the lockscreen.html (there's loads out there) and modify the name of your .png's for it to work in your theme. but if you intend on distributing the theme, then you must contact the original author of the code and ask their permission to use and distribute their code in your theme.
if you dont know where to find a theme that has the .html coded lockscreen, then have a look at the "Saurik" theme that is already installed in your winterboard. ok, the images that are used are for the wallpaper to change, but if you read Sauriks web site, he states that you can change the the name of the wallpaper.html to lockscreen.html and it should work. not tried it myself.