Since there is no option available to change the lockscreen picture, you need to go through an extra procedure.

Instructions:

• Download the HtcLockScreen.apk from HERE
• Right Click on the HtcLockScreen.apk and select open with... WinRAR, Do Not EXTRACT
• Go to res/drawable-hdpi and you will see a .png ile named lockscreen_topedge.png, this is the lock screen wallpaper
• Get the wallpaper you want to add and make sure its 480x788 pixels
• Once you have created your wallpaper save it as lockscreen_topedge.png
• Go back to WinRAR (Which should be still open) and drag your wallpaper into WinRAR
• A box will come up (Archive name and parameters) Do NOT Click On Any Settings, just click OK
• Once that's done you can double click on the lockscreen_topedge.png in WinRAR to see if your wallpaper was injected in the apk. If not, TRY AGAIN
• If all went well just close WinRAR and push the HtcLockScreen.apk to system/app (For CLK and MAGLDR) Or sd-ext/sys-parts/app (For MAGLDR EU)
• Reboot and your Done!

I have made few Images which can be flashed through cLK-CWM (Download below):
You can use the CWM flashable file and follow the above instructions without extracting any files to insert your image, then you can proceed flashing through CWM.

Version A: Version B: Version C:

Thanks to Frankinstine, these zips have been tested on Frankinstine Droid HD 1.2.