Lets say you found a beautiful picture and want to make it a background for moonshell.
First, resize the image to 256 X 192. Now, depending on where you want the background to be, rename it. Lets say you want the picture to be the background for the bottom screen of Moonshell. Then rename the picture to "desktop"
Or... you could just download any random skin set and replace the included images with those you want.