Just put a new wallpaper on and it will only take them off the SD card, is there anyway to import them into the internal HD on the system?

When you select a startup screen from a SD card, it's copied to the internal flash memory. Once it's selected, you can remove the SD card.

thanks, i was talking about saving multiple wallpapers to it though and then removing the SD card, it seems to only save one(the one your using)

No. Just keep them on the card and select them from there. Its practically the same thing.