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.
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