If you're viewing this on your Mac/PC, click here for a helpful guide from The Apple Blog.
If you're on your iPhone or iPod Touch, hold your finger down on the wallpaper you want to save then press 'save image'. Then launch the photo app and find the wallpaper in your camera roll. Got it? Click the arrow icon in the bottom left corner and press 'set as wallpaper', then press 'save' and you're done! NOTE: This will only work in the Safari browser, Twitter browsers etc won't work.