If you want the wallpapers to show up as thumbnails in the Default Desktop Settings window, copy them to ~/.kde4/share/wallpapers. Otherwise, you will have to hit the Open button and browse for the correct file.
This is, of course, far more complicated than KDE3.x where you simply put them in ~/.kde/share/wallpapers
"Insanity: doing the same thing over and over again and expecting different results." (Albert Einstein)