Once you update the app you can head on to the newly-implemented Lock Screen page in the Settings menu and choose which feed you'd like to use. You can either opt to use the photos you've published as a lock screen background or the ones, uploaded by the people you have followed.
It is currently unknown if this rather interesting feature will remain Windows Phone-exclusive or the other versions of the app will eventually get it as well. We're rooting for the second option.
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The Windows Phone version of Instagram now allows you to use your feed as a wallpaper
via: Windows Phone Daily