just got home with mine. goto the screen you want to change and drag the wallpaper widget off to that screen ....change it...then just throw the widget back on the side bar. Im sure there are an easier way but that is how i did it. I guess we should read the manual. but that is no fun!!
have fun with your o2. I love mine so far. I did turn off feedback and sound for taps....uggg annoying.