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
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.