Custom lock screen wallpaper with Sense 6 One M7 and M8

This is actually very simple in Sense 6, but in will not work in Sense 5.5 for One M7, so: you need Sense 6 for this to work.

Go to Settings > Personalize > Lock screen wallpaper, where you select Use custom wallpaper. And just browser for the one you want to use and simply select it. Done!