There are two examples... both are very similar, but the first shows how the background works with the Empty/On/Off/Down layers on buttons, you should have a background=<imagefile> in RR.INI for it to work -- RR AUTOMATICALLY loads this background image for you when in GDI+ mode.
The second example shows that you can set the background image on skin.ini if desired (open it and change the path accordingly). Notice how Indicators work in transparent screens with the indicator on the far bottom/right.
If you use this method, all you'd have to do to switch backgrounds is "SAVETOINI;BACKGROUND;<path+file>" and reload skin. It's probably not the only way of doing it.