Correct, technically there are a lot of illegal wallpapers running around on the internet.
I've never heard of anyone getting sued for making a wallpaper with an anime series though. Actually I don't even know of anyone selling a wallpaper as a print/T-shirt getting in trouble but I personally wouldn't risk it. From what I understand the whole fansub community is in much more danger of the copyright laws then a graphic maker.
As a general rule though, most artist try to still credit the original creators and/or companies who own the copyrights on the series when they make graphics. That's why you see lots of "Copyright: blah, blah blah and blah blah blah" at the bottom of wallpapers or on layouts made with anime images.
As for getting pics they are lots of good resources out there especially for wallpaper makers. Animepaper and Minitokyo are my favorites but as Aoshi mentioned the pics aren't censored in anyway, so you might see something you don't want to.