Had to give you a little bit of a hard time. Mine actually does do this when I lock my phone. I have a custom wallpaper that shows on my home screen. When I lock the device I still see that wallpaper on my screen.
Now I am using an 8700g handheld device with the OS 184.108.40.206 for the BlackBerry. If you are using the OS that came with the phone, may v4.1.0, then this may not be possible. Look for the sticky at the top of the 8700 forums about upgrading the OS on the handheld.