Found this guide for Mac
I don't have a Mac
How to do it in Windows?
• On your mac, open the Photos app and drag the JPG and the MOV file into the main window at the same time. It will automatically import it as a combined single Live Photo.
• Make sure all your iCloud syncing is on and it should show up on your other devices after a minute or two.
• Once on your phone, set it as a wallpaper like any other picture in your Photos app, but you should now see it as a Live Photo option. If you press and hold to see it animate and it looks pixelated/blurry then drag it around to reposition then try again and its should be back to full quality.
I don't have a Mac
How to do it in Windows?