Where are the wallpapers, including live wallpapers stored on the mac?
If you mean the theme pictures, the ones that come with Opera must be inside Opera itself. If you added any, they are kept in the profile in a subdirectory called "themes". To access them, you can do that from the gearwheel image at the upper right of the Speed Dial.
About Opera to find the profile path.
Unhide system files needed.