I always apply thru the Personalization Window...BUT I set mine up different....it's worked well over the years having had several different display sizes. I also save the files in the same format I rec'd them or if i resize/change I go lossless.
MyWallpapers----->
>Fullscreen ---->1024x768, 1152x864, 1280x960, 1600x1200, Others
>Widescreen--->1280x800, 1440,900, 1680x1050, 1920x1200, Others
>Abortions----->1280x1024, Others
>Dualscreen
>Tiles
currently at 2,720 files