Alternatively, open Settings > Wallpaper > Add New Wallpaper. Tap the blue plus icon at the bottom ... to change it each time you wake or lock your iPhone. Depending on your selected photo source ...

The iPhone's lock screen is fully customizable ... You can now select one of your saved wallpapers, or tap the blue + sign to add a new wallpaper. If you can't use Face ID to delete a wallpaper ...