Just tried and works perfect, went to gallery, selected photo (check mark photo), clicked more, clicked set as and then selected Lock Screen......Thanks never knew this option was there
I did this on my Exhibit 4g and it worked fine but slightly different. It's running Gingerbread, maybe that's why. Anyway, select the pic and hit "More" and then "Set As". That's the only place so far that I've been given the option to change the lock screen.