there's an icon of a square with a triangle in it bottom left. click this and a box comes up. drag your artwork in there (having selected the relevant songs).
Right click on the song and then click on 'Get Info'. Then click on the 'Artwork' tab and click 'Add'. Now browse for the image. Once chosen, click OK. That was on the PC version, don't know if the Mac version is different.
Kieran
Edit: Sananda Maitreya's method seems to be quicker
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Kieran
Edit: Sananda Maitreya's method seems to be quicker