Open the settings application on the iPhone. Scroll and click the wallpaper option. Click "Add New Wallpaper". In the wallpaper library, you can choose different categories such as photos, people, random photos or live photos to find your favorite pictures. After selecting a picture, click the Add button. You can choose whether to use this wallpaper on the lock screen and the home screen.

You just want to set the screen saver wallpaper, and you can choose to use it only on the locked screen. Click Set as Wallpaper Combination to apply the wallpaper you selected as the screen saver.