Step 1: Know Your Theme

One of the biggest mistakes or best decisions you can make about a grundge wallpaper is it's theme. You should always keep the character in mind and make your background match and/or compliment the style the character was drawn in. The color is probably the most important part, but also the darkness and feel of the grundge is good to match.

Step 2: You need a brush?

Using displacement maps and taking pictures can be your best friend in acquiring/making grunge brushes, but if that's not what you want, then there are plenty of sites to snag some from:
Vered's Xperimentation - Echoicha -etc. ^_^

Step 3: To Stamp or Brush

A lot of sites/people say you should never "stamp" a grundge brush... but I say you should never brush with it. A lot of brushes are either so big or very plain, that if you brush with them you'll get a big repetitive mess. Intead "stamp", i.e. one click of the mouse, move to another area and repeat or use another brush. You'll keep the brushes details and have a more diverse pallet.

Step 4: Color

I always stamp my brushes in white in their own layer and that layer would usually consist of similiar brushes. Here's an example the swirlly stuff being on its own, large filler in the middle its own, etc. This generally makes it easier to color and reuse whatever layer you want.

Step 5: Join the Darkside!

As with all my tutorials, I have to end this by saying... just be creative and expirement! Play with as many different brushes and brush combonations as you can, keep the colors relative to the work and enjoy yourself. It's pretty hard to go wrong if you follow those rules.