Copy and paste the image into 'album artwork' in the 'get info' menu, which is accessed by right clicking on the files that make up the album.
Alternatively just hold ctrl+A in your music library, right click and select 'get album artwork', which will quickly find artwork for all your files saving you all that clicking back and forth. It won't find all album art though; I find that iTunes is able to find about 3/4 of all my album artwork automatically. The rest you will have to do manually.