Backgrounds should be in the /.rockbox/backdrops folder; .wps files should be in /.rockbox/wps folder.
You don't say what player you are using, but I suspect that you are not shutting it down correctly, because if you were, the in-use WPS would be automatically saved in the config file.
On most players you have to do a long press on either the STOP button (irivers, ?gigabeat?) or the PLAY button (ipods). You should see a 'Shutting down...' splash screen if you are doing it properly.