Thanks to ImZaat's answer I found the solution, ImZaat's code is not working for me, as I would like to know if my wallpaper is running, but not from the wallpaper engine itself, from one other activity instead (it's an Activity used for setting some preferences about the wallpaper, so it's inside the same packege).
This is what I did and it's working fine (the code is inside the onCreate() method in the Activity:
WallpaperManager wpm = WallpaperManager.getInstance(this);
WallpaperInfo info = wpm.getWallpaperInfo();
if (info != null && info.getPackageName().equals(this.getPackageName())) {
Log.d(TAG, "We're already running");
} else {
Log.d(TAG, "We're not running");
}