Setting Background image in simulator home-screen
Certain versions of the simulator appear to support this, not just for the home screen but for the lock screen too (which you get to with Command ⌘+L):
- Drag an image from your Mac to the simulator.
- Mobile Safari opens. Click and hold the image.
- Choose Save Image.
- Go to Photos.app, and into the photo album.
- Choose your image, and set it as the home screen background like you do on a device.
- You may need to restart the simulator.
Note that since this isn't exactly officially supported, it may or may not work for you depending on your version of Xcode or the simulator.
It is possible (again) with the iOS Simulator version 6 (for iOS6).
First, add some images to your photo library. You can do this by using Mobile Safari (either surf the web or drag a local image to the simulator). Then perform a long press and save to camera roll.
Second, open "Photos", select the image and set as Background.
Third, restart the simulator (this irritated me at first, as it doesn't seem to work immediately)