You can see how the code is put to work in functions.php of TwentyEleven theme, line 135 – 195.
The codes to register your images are:
add_custom_image_header( 'twentyeleven_header_style', 'twentyeleven_admin_header_style', 'twentyeleven_admin_header_image' );
register_default_headers( array(
'wheel' => array(
'url' => '%s/images/headers/wheel.jpg',
'thumbnail_url' => '%s/images/headers/wheel-thumbnail.jpg',
/* translators: header image description */
'description' => __( 'Wheel', 'twentyeleven' )
),
'shore' => array(
'url' => '%s/images/headers/shore.jpg',
'thumbnail_url' => '%s/images/headers/shore-thumbnail.jpg',
/* translators: header image description */
'description' => __( 'Shore', 'twentyeleven' )
)
) );