There is a better way. You can load a theme in winstyles or windowblinds with the wallpaper, if you use a bitmap, or convert the jpg to a bitmap.
Then, start Skin Studio and go to the left personality section. On the right side you will see a section called Desktop Wallpaper. Once you highlight it, you can go to the bottom pane and import the wall, and then save the skin. The wall will be copied to the theme directory. Now, anytime you load the skin, either in display properties or winstyles, the wall will autoload. Provided that you have the option checked in the windowblind setting to "Apply any wallpaper supplied."
I do this with all my themes. The reason that most walls won't load with the theme is explained in #6. Also, jpegs are a lot smaller than bitmaps in file size, and therefore faster to upload and download. This is probably the reason why most authors choose jpegs, although they suffer in quality and tend to degrade.