How do I change the lock-screen wallpaper?
I also had this issue. I'm using LG GT540. When using default LG home screen, I can change the LockScreen Wallpaper.

But if I use any other Launchers the option is not there.

Now what I'm doing is: I will switch to LG Homescreen just for changing the Wallpaper and then will switch back to LauncherPro.

You should do something like this. I know this is not the answer you are looking for; I'm just giving you some hints.