As far as I know, the only way to accomplish this is via MetaMorph. It works great though, just kind of a pain:
[THEME] Vanilla Lockscreen NON-Transparent Background [UPDATED: 07/05/2010] - xda-developers
I tried that MM and couldn't for the life of me figure out how to change the background. I asked for help/suggestions in the original thread over at xda and never received a response. For some reason I've never been able to get any of my questions answered over there. That's one of the reason why I LOVE this forum so much, everyone is so nice and helpful
I was able to get that to work in xtrROM. I'm not running it now, so I may have some of this wrong, but the instructions in that xda thread are pretty spot-on for xtr, with one exception: the installation via metamorph does not remove /system/app/htlockscreen.apk. I used Root Explorer to rename that file to htclockscreen.bak, just so that I could get it back if it didn't work.
To get a custom background, what I did was follow those instructions in that thread to get the background that was included in the download. Then I created my own background that was exactly 320x480 .png file called "create_contact.png", just as it says in that post on xda. Metamorph will have expanded that lockwallpaper.zip file onto your SD card. I just replaced the background in framework-res/res/drawable-mdpi/create_contact.png in that directory on my SD card, reinstalled it with metamorph, and I had my custom background.
One thing, though, that bugged me: the lockscreen when you receive a call is still that HTC pull down method.