Sony Walkman 4-110-117-11 (2) Operation Manual page 115

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Common Settings
To set the photo to the wallpaper
If a photo in "Photo Library" is designated for the wallpaper, you can set it to

the wallpaper by selecting "User's Wallpaper" or "User's W.p.(dark)" in step .
While displaying the photo, press the OPTION/PWR OFF button to display
the option menu, and then select "Use This Photo as the Wallpaper. "
Note
 The wallpaper is not displayed in certain screens, such as settings screen, etc.