Changing the lock screen wallpaper on your galaxy s6 is not the same as changing your wallpaper. What you need to do first is go into the settings on your galaxy s6 and scroll down to wallpaper. Once you click on wallpaper there will be an option at the top to switch to lock screen.
You can use any photo you have saved on your galaxy s6 to use as the lock screen, or you can just use a stock wallpaper. Using two different sets of wallpapers on your galaxy s6 is a cool feature, and takes less then a minute to do.