If you haven’t already, make sure to update your iPhone. This wallpaper feature is only available on iOS 16 or later. If you don’t have this update your device may be too old to update. Don’t swipe-up to access your home screen. Stay on your lock screen.
Add a new wallpaper by tapping the blue + icon, or edit an existing one by tapping Customize. Add widgets such as the weather widget to display local temperatures on your lock screen. You can also set a new home screen wallpaper. There are plenty of ways to customize your layout with themes and widgets.