2F4U is right but I guess you knew that already.
What if you still want to prevent someone (say a kid) from changing your wallpaper while you are away.
Here's a strategy that might work for you.
1) Rename and restrict xfdesktop-settings
2) Create a script that will unlock the settings and run them
sudo mv /usr/bin/xfdesktop-settings /usr/bin/xfdesktop-settings-bin
sudo chmod 700 /usr/bin/xfdesktop-settings-bin
gksudo leafpad /usr/bin/xfdesktop-settings
3) Make the script executable
gksudo chmod 755 /usr/bin/xfdesktop-settings-bin && /usr/bin/xfdesktop-settings-bin && gksudo chmod 700 /usr/bin/xfdesktop-settings-bin
Now every time you launch the desktop settings, this script will be executed.
sudo chmod +x /usr/bin/xfdesktop-settings
You should save these instruction in case Xfce gets updated and overwrites your script.