To set a single photo as your desktop background, select the photo and choose File ▸ Set as Desktop Background.
You can also set your background to a slideshow of photos. To do this, select the photos for the slideshow and choose File ▸ Set as Desktop Slideshow. Shotwell will prompt you for a slideshow delay, which can be any interval up to one day in length. The background slideshow will proceed even when Shotwell is not running.