Step 1: Choose a wallpaper you like in the Pimp Your Screen app and tap “Save”. You will get a confirmation that the wallpaper was saved to photos.
Note: If you're saving a wallpaper for the first time you'll need to authorize Pimp Your Screen to access your photos. Otherwise the app won't be able to save a wallpaper.
Step 2: Leave the app and go to the Photos app on your device and then to Choose Camera Roll or Pimp Your Screen album. Select the image you've saved and tap the share control (bottom left corner).
Step 3: Tap Use as Wallpaper
Step 4: You will see a preview with selected image and options where to set it. Choose any to your liking. Enjoy.