On Sony Xperia devices you can change the lock screen wallpaper without the need to change the home screen wallpaper. Change lock screen wallpaper on Xperia Z, Xperia ZR and other Sony Xperia devices, by doing as follows:
1. Open Settings application
2. Under Device settings, go to Display.
3. Scroll down and tap "Lock Screen"
4. Tap "Wallpaper" and select the new lock screen wallpaper either from the Gallery or Xperia wallpapers