My friend texted me a picture and I set it as my background image, then delete the text.
The background image is still the photo, however I cannot find where it has saved to.
I believe they're stored in /data/system/users/0 and itll be labelled wallpaper, but you'll need root access to get to it. alternatively there's an app called wallpaper set and save which lets you save it as another file. hope this helps