If you can't just add wallpapers from steamworkshop, you have to download them via steamworhshop downloaders, unzip and put in projects folder. Tired of doing this every time? Just use wallpaper-engine-downloader
Download ready-to-go windows .exe file
Locate wallpaper engine folder. It contains directory 'projects', which contains 'myprojects'. Copy path to 'myprojects' folder
In the directory containing executable, create file named config.toml. Right click, Edit
MyprojectPath = "C:\\Escaped\\Path\\To\\myproject\\folder"
Open console and proceed into directory containing executable
-config config-file-name.toml (should be in same directory)
-wallpaper link-to-wallpaper in steamworkshop
./wallpaper-engine-downloader.exe -config config.toml -wallpaper "https://steamcommunity.com/sharedfiles/filedetails/?id=818603284&searchtext="
UPD: Since v0.8 you can place your config.toml file next to .exe file. The program will read its contents. Since v0.8 you can specify wallpaper workshop link in terminal after executing the binary. It will read from stdin in loop, if you want to download more than one wallpaper.
This program uses http://steamworkshop.download/ to download items from steamworkshop. Future versions could support steam API to download directly from steam, but for now, I leave it as is.