I totally get what you're saying, because I'm often like that, too. As far as this particular issue is concerned, I don't change my wallpaper that often anyway, so once I set it, I can pretty much forget it. I just use the "+" button and manually add the picture from the correct directory. You can also drag-drop the picture into the Wallpaper pane and that will change the wallpaper as well.
What bothers me more right now is the fact that I can't log out using the logout command in Gnome-Do. Can't seem to find any answer for it either.