I'm using crunchbang #! when it was #!-9 around in 2010 , now using #!-11. Between these period I tested out many linux distros but never feel that any linux is stable as #! is now, because it drops Ubuntu and using Debian-stable :) .
As per the heading of this post to change wallpaper in Crunchbang we need to copy paste the wallpapers( images ) into following directory./home/[username]/images/wallpapers/shared/
But "shared" folder is locked, so we need to copy-paste the images as a "sudo" user. Please Follow the steps.
1 Press "alt+f2" then enter "sudo thunar" and enter your password.
2 Now copy your wallpaper(images) and paste it into "/home/[username]/images/wallpapers/shared/" directory.
3 "Right-click" on the desktop and navigate to " settings > Choose Wallpaper ".
4 Now you can easily see the images and set the wallpaper by selecting images and clicking on "apply" button.

Here is my wallpaper link

Wait for the next crunchbang post. Keep Coding :)