I finally figured out how to do this a few minutes ago. (In defense of my apparent idiocy, no guide told me how, just said you can have multiple desktops.)

It's actually pretty simple; right click your screen, selct configure desktop, select background and uncheck "common background". If you want a wallpaper for each desktop just select "single wallpaper" or "multiple wallpapers".

To set up more or less than the default 4 desktops, select multiple desktops and adjust the slider. You can even give each desktop a different name.

Hope that helps someone who was as puzzled about that as I was.