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This is what happened after the ICS update, after i choose my selected wallpaper for my lock screen, I go over to my lock screen and then it is still displaying my live wallpaper which is not what I wanted. Sony, you may want to check regarding this. My SI Number is 1257-0987 and I am from Singapore, just in case if you need these set of information. 
Solved! Go to Solution.
I recently bought sony xperia U,i updated it to 4.0.4 android version.....Now i cannot set my lockscreen wallpaper ,,,any help....please tell me to....solve this issue....thank u
OK, So following that way that "uliwolly" said is correct, but only works if your security settings are set as "Slide" if you use any other style of locking methid then you have to sacrifice your lock screen's wallpaper and stick with the actually wallpaper set on your phone, which is an inconvenience because that means there is no password, but a picture.