Move the pic to didplay

Solution
You would have to first save the image from the message to your phone. Tap the image when in the message and it should give you the option to save it.

Once the image is saved the the phone, then you should be able to set it as a wallpaper.

NOTE: The image will have to be big enough for this, otherwise it will look a little off.

Also, your phone, depending on the phone, when you tap on the image may actually give you the option to save as your wallpaper right then and there. It would work, but before you delete the message make sure that the image was saved to your device and not just attached from the message. It isn't saved to the device then when the message is deleted the image would be as well.
You would have to first save the image from the message to your phone. Tap the image when in the message and it should give you the option to save it.

Once the image is saved the the phone, then you should be able to set it as a wallpaper.

NOTE: The image will have to be big enough for this, otherwise it will look a little off.

Also, your phone, depending on the phone, when you tap on the image may actually give you the option to save as your wallpaper right then and there. It would work, but before you delete the message make sure that the image was saved to your device and not just attached from the message. It isn't saved to the device then when the message is deleted the image would be as well.
 
Solution