no, you are fine. If you are right clicking and choosing "save image" then you are okay. Wallpapers that you would want to save will always be a .jpg or maybe .png extension. What you don't want to do is download zip files full of "wallpapers" because you never really no if anything else is hiding with the wallpapers.
I know some of the lesser-known wallpaper websites will use some sneaky javascript to overlay some bad stuff over the image so when you try to click on it, you'll be sent to somewhere you don't want to be. But allmacwallpaper is legit. If you are still worried, you can use browser extentions to temporarily deny JavaScript on a site and/or use ghostery/ublock orgin/etc.. You can also download a program for OSX called Malwarebytes, which will find and delete anything suspicious.