Originally Posted by TJL7386
Also Don I assume that I need to connect my iPhone to the PC in order to create a new folder in the "Photo Albums"?
That is correct. I have a folder called "iphone pics". From this folder I have subfolders such as: Vacation, Birthday,Jim's Party,Wallpaper,ect. By doing it this way, you will have the same subfolders on the phone and it makes it easier to find what you are looking for.
As a side note, if you google something like iphone wallpaper you will find tons of free stuff. It will overwhelm you.