This was done on a ubuntu 9.04 box.

Basically, run this script in a folder of your choice:

#!/bin/bash

for i in `seq 1 329`
do
	wget http://xkcd.com/$i/
	wget `grep http://imgs.xkcd.com/comics/ index.html | head -1 | cut -d\" -f2`
	rm index.html
done

Then, edit your screensaver config file as outlined in this blog:

gksu gedit /usr/share/applications/screensavers/personal-slideshow.desktop

then make the exec line like this:

Exec=slideshow --location=/home/username/Pictures/yourfolder