You select wallpapers the usual way... Tap on the desktop, tap the gear icon, and select "Change background" (assuming you're using the English localization).

The theme installs two background sets; one with the circular design seen in my avatar, labeled "Image set - Okudagram" (on English-localized devices), and one with just the blue outline, labeled "Theme - Okuda". Both of the theme's wallpapers usually show up at the top of the list when the theme is in use.

Unfortunately the thumbnail for the "Theme - Okuda" wallpaper is actually just the theme's icon, which includes the circular graphic even though it doesn't actually appear on that wallpaper. Sorry for the confusion. Since you're not the first to ask about this, I think I'll edit the OP to mention it.