How to permanently change the wallpaper
From DSL Wiki
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Use the wallpaper.lua script
Tested in DSL 4.4
Open up a terminal and type:
wallpaper.lua [Target Picture]
Where Target Picture is the path to your picture
This will replace your wallpaper and this change will remain permanent.
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Alternative Approach
Tested in DSL 4.4
wallpaper.lua can also be called without any arguments, which will end up directing you to a list of wallpapers that are stored in the directory /opt/.backgrounds/
By placing your wallpapers in that directory, you can set the wallpaper permanently via the provided gui.