when you are viewing your image in the gallery, and you hit menu, there should be an option for "more", and then from there you should be able to press "set as" and make a wallpaper from there. (operating on the assumption that the gallery on the atrix is the same as the one on the X, which it should be, if not really similar). if your images arent showing in the gallery, make sure you have the correct file path set on your sd card.
plug your phone into your computer or download a file viewer app (like astro file manager) to manage your sd card. from the root (top) of your sd card, there should be a folder called "media" and in there should be a folder called "pictures". anything inside that pictures folder should then show up in your gallery, and you can also make sub-folders in there to make organizing easier
to change a wallpaper, you can also on your homescreen press menu> wallpaper and from there select the "gallery" or "media gallery" option. it will then take you into your gallery where you can select an image