Hmm, I guess my answer would have to be depends... Mostly on file size, but also on whether or not you have put the effort into creating different resolutions of the wallpaper. I know for me, it can be frustrating to have to download a skin and a wallpaper, so I might prefer to download everything in one file. Some designers however, have developed multiple versions of their wallpaper to work well with different resolutions. I have a widescreen laptop, so if I see a wallpaper that has a widescreen version, I download and extract that one along with the windowblind file. (A link in the description is very helpfull here.) If there is only one wallpaper, meant to work with all resolutions though, I would prefer to just have it included with the skin file.
I don't know if that was quite the answer you were looking for, but that's my 10 cents (darn inflation!).