step one - get illustrator! step two - start making shapes! step three - apply gradients to the shapes to create shading! step four - render, rinse, repeat until you're done with a wallpaper!
why? because they aren't done in illustrator? the pen tool creates anchors and paths which are, in essence, vectors. it all ends up as a jpg eventually.
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[Customize.org] Three syllables, Two words, One man. Cameron Frye
1) Get wasted. 2) Listen to Coldplay. 3) Get a job at Adobe inc. 4) Steal illustrator. 5) Go read some art forums about vector work etc. 6) Eat more chicken.