Yessiree, it's just that easy. I burnt a disc with a folder titled PICTURES and dropped in a few 500x240 jpg pictures and it read them all. I didn't have to save them any special way at all. I just DL'ed them from the custom background thread and dropped them directly into the folder then burned the disc.
Went to the navi screen -> system Options -> background images and then selected them off of the disc i burned and it took them and saved them.
Works great.