Here's how to change lock screen wallpaper if using Apex launcher!
I just spent 20 minutes trying to figure out how to change my lock screen wallpaper from that small set of OEM choices. I couldn't find the option anywhere. Then, I realized that since I am running Apex Launcher, it only gives you the option to change the main screen wallpaper. I went back to Touchwiz... went to Wallpapers... and it let me pick home or lock screen wallpaper. I changed it and went back to Apex. All done.
Just posting this because my Google search and search of the forums only talked about changing the widgets, text, etc. of the lock screen. I couldn't find anything on changing the lock screen wallpaper.
Hope this helps someone!