Since I do not know what version of IOS you are using
and I want to bypass iTunes

Try this

right click and save the image at the end of this post to your desktop

email the image to yourself

tap the image and dialog pops up with several options or option bars

save it to your photoroll
(pretty sure it is the default option)

Once it is saved to photoroll-

find the image and there should be save as wallpaper icon or bar (older version of IOs)

You then are asked to scale and position--

I have it set up so that if you put it at the at the bottom of the screen, it should scale at that position--plus it shows the copyright

You will be given three options--
Set Lock Screen
Set Home Screen
Set Both

I set it as Lock Screen but you can experiment on your own

pintail-iphone-portrait.jpg