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Sure they can't be copied to a system folder, what for exactly?
I don't get it now - you actually can copy the wallpapers from Z (or download them, whatever), but to set them as wallpapers on the Z1, first you want to copy them over the system folder... why? Can't you just put them in any other folder and set them as wallpapers like any other image? No, really, I think I am missing something here.
What was the problem again?
Live wallpapers are apps (apk-files) so you need to install them in the phone.
I haven't tested this but i think if you copy them to any folder on the SD-card or device memory and then install them by selecting them in a file manager it should work. Note that unknown sources must be enabled under Settings -> Security if you are to install apps from SD-card or device memory.