I did some searches and everyone is saying that is the place to make the change. This just doesn't seam right because files in /etc get changed all the time so I did some looking around and found this /usr/share/desktop-base/grub_background.sh.
So I changed WALLPAPER=/usr/share/images/desktop-base/desktop-splash to /usr/share/images/grub/corsair.tga. Then did an update-grub and rebooted to see my changes. It worked.
My question is would this be the most correct way to change the grub splash screen than in /etc/grub.d/05_debian_theme.
The complete change. And of course corsair.tga is a picture I found on the internet and converted using gimp.
Any comments for or against are welcome.