If you're using Budgie or MATE, you'll need to create a file /etc/lightdm/slick-greeter.conf
. The folder /etc/lightdm
may not exist, in which case you'll need to create it using sudo mkdir -p /etc/lightdm/
The contents should be along the lines of:
background=/home/robg/Pictures/mywallpaper.jpg
It doesn't have to be that path, it's just an example.
If you're using GDM, you can just select the Lock Screen option in GNOME Control Center -> Backgrounds. I'd suggest you do the same if you're using Budgie, I don't quite remember if it affects gnome-screensaver or not.