Greetings, katmcg513.
Congratulations on your iPhone XR! I see that you're having an issue using a Live Photo as the wallpaper, though. You're not given the option to select a Live Photo when making the change, and the photo doesn't animate. I'm happy to help.
Take and edit Live Photos -- Take one or two Live Photos, then check if a Live Photo option is available to change the wallpaper to. If it's still not there, restart your iPhone XR. Restart your iPhone, iPad, or iPod touch Let me know if the Live Photo option appeared.
Change 3D Touch sensitivity on your iPhone -- If Live Photos aren't animating, adjust the sensitivity of 3D Touch. You do need to press firmly and hold for a second for the animation to start.
Let me know how that goes, and take care!