Did you try it for different images? Are the images atleast 960x540 pixels? Are any other apps that might be using the image open? Do you use any third party home screen launcher?
No no no..... Actually I have dlted lockscreenwallpaper.data flie from storage while connected to pc and after I detached it and tried to set it won't... But after restarting 1-2 times the file was created automatically and the priblem got solved.. But thanx for your reply @discretion