Wallpaper lists are basically files with lists of the paths to wallpapers.

An example list:

Included with CWallpaper is a script for recursively building a wallpaper list from a directory, such as /home/yourusername/Images/Wallpaper
It is called
Make it executable by running:
me@home:~$ chmod a+x
Then run it by giving the path to your wallpaper folder:
me@home:~$ ./ ~/Images/Wallpapers/
And it will recursively generate the list for you.