For those using Go Launcher, here the supposed fix to make the wallpaper stick:
"The Rotating Wallpaper app is kinda weird and not much info on how to set it up. I installed the app (from Android Market), opened the app, ADD Set, Type in your choice of name for the set, ADD a file (photo of your choice). I wanted to keep the same wallpaper & not rotate at all so I only added ONE photo/file. Visit Settings: Active Wallpaper Set – click and select your new set; Rotate Interval – I set it for one minute in case I want to add other photos later. Delay on Sleep – check. Click the BACK button and hit ROTATE NOW. Then it should set you wallpaper to the photo/photos that you added to your set.
Use the UNLOCK WALLPAPER (#4) function, change the wallpaper to whatever you want, then use the LOCK WALLPAPER (#3) function to make it stick. (Thanks to user Andrei.)"
Taken from from here:
http://raywaldo.com/2012/01/kindle-fire-works-great/
Hmm just tried it and it seemed to NOT work at first by going back to the stock one but then after 5 seconds it went to the one I had picked
interesting