I've seen other post that are unsolved about putting an album art in a file.
Banshee and Rhythmbox work, but only superficial. if you ever put the music file out on a different computer, you'll see that it will be revert to un-arted file.
I haven't verified this in older version but this is how.

Level: n00b
You will need:

a music file (.mp3, .ogg, etc.)

a cover art.

open two home folders (one for the location of the music and one for the location of cover art.)

right-click on the music file and go to PROPERTIES.

Now DRAG your album cover to the music file ICON

Press OK and your done.

NOTE: doesn't work on multi-select