Yes. Great suggestion. This is exactly what I do. It takes a little more time to edit your photos that you want as your wallpaper with your contact information, then sync it and apply it, but it's well worth it. Someone else mentioned an App you could purchase. OR...
You can download the App named "If found" by MobilityWare. It's FREE. This Allows you to choose any of your photos, apply text over it, and then apply it as your wallpaper. This way someone who may find your iphone can see your contact info. on your wallpaper without having to "log in" to your phone.
And finally, if all else fails, there are many Iphone cases you can purchase online for fairly cheap that offer custom engraving on the back which can include your name, number, email, etc. Just a thought...