We can also use the xfce settings panel to change our wallpaper and so much more. The application is actually called xfce4-settings-manager. You can start it in the menu but I start it with a keyboard shortcut. Look for the icon called Desktop. Read the yellow banner if you have a dualscreen. That is a tip.
You can set different wallpapers on each display. Very intuitive. But if that is not enough you can set a different wallpaper on every desktop of every workspace. That means 8 different desktops/wallpapers on a dual screen in my case. Look for apply to all wallpapers and tick it off.
Keyboard Shortcut To Remember
CONTROL + ALT + M
Launch XFCE Settings