If you mean by actually creating it - from scratch - you'll need something along the lines of Photoshop. What that it is depends on your platform and what your price range is.
If you just mean using a custom wallpaper on the iPhone, then take the wallpaper you'd like and either sync it to your iPhone as a photo, or email it to yourself and then save it to your iPhone's camera roll. From there, find the wallpaper in the camera roll, and then tap the icon in the bottom left corner - then, select "Use as Wallpaper". Crop it, scale it, or leave it alone, and tap "Set Wallpaper". Done.
You don't have to go for the great program Photoshop - it's way too expensive! Try cropping in GIMP -it's free and easy to use! (The size off the crop is: 320 x 480 pixel!)
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