http://www.mp3-box.org/mp3-album-art-editor/

How do I attach artwork information and images to an mp3 file for use with Sony PSP/C903 Phone?
I listen to music on my Sony PSP and my SonyEricsson C903 Phone. The display has a section that shows album artwork, some of the track’s I’ve downloaded have this artwork attached, but all of the CD’s I’ve ripped myself have it missing. How do you attach album artwork to an mp3 file for use on these devices? I’ve tried looking up the track info from Gracenote when I’m ripping the tracks, The Album Art Lookup on MediaGo, and the Download Artwork option in Winamp’s ID3 editor, but nothing seems to work. Please can you help me out with what to do? Cheers
This is the best program I have found to manage tags on music files, and it also embeds artwork:
http://www.mp3tag.de/en/
Add cover art & album art to your music