It seems like every time I want to tweak something in Ubuntu these days, it's a vicious workaround involving multiple hoops.
So here's another, for the default lockscreen on Ubuntu.
According to AskUbuntu and other sources all over the internet, you can't change the background of the lock screen.
This is mostly true; you could recompile gnome-screensaver I suppose (there's links out there to do it) but the simplest way to do it is this:
First get the PNG you want to use. It has to be PNG because this is an awful "hack" to make it work.
From a terminal window:
sudo mv /usr/share/backgrounds/warty-final-ubuntu.png /usr/share/backgrounds/warty-final-ubuntu.orig.png
sudo mv /path/to/your/file.png /usr/share/backgrounds/warty-final-ubuntu.png
And you're done.