This I use only to save the current wallpapers off my phone, since I know that when there’s a new Sense version: all the wallpapers will be replaced.

It’s pretty simple really. With a file manager app on your phone (or Android Debug Monitor on your computer) go to

/system/customize/resource

Where you have the wallpapers at the end, on One M7 it tends to be 17 (can be more/less on carrier/network variants).

They’re simple named wallpapers***.jpg, at least on the regular unlocked Swedish One M7 that I’ve got.