What phone are you using? On Samsung you just open the picture in the native Gallery app, tap the three dots menu in the corner and choose Set Wallpaper.
If you’re not using Samsung then I would expect that brands picture browser to have a similar feature.
FYI there is also “Island” (white triangles on blue yellow background) on the Google Play Store which does similar if you don’t want to bother with FDroid.
I use it for isolating work apps, only oddity is having to install a second instance of my favourite keyboard and browser app, and if I want to attach a photo to say Teams, the file picker will show nothing until you switch it to browse personal files.