I've been trying to figure this out too. I've come up with a couple possibilities, but both have drawbacks.
In my case, I've laid out many 'Best Of' albums. Essentially my own personal favs for various artists, in the order I want. I've set each track up with its original album art in the Metadata, changed the track # to match the order I've set up, and set the file name to have the track # at the beginning (ie. 01, 02, etc).
1. The first option would be to rename the Album data to the original albums the tracks came from (or really any name, to set the albums apart), then set the Title to have your track number at the beginning. When you play, select the songs by the artist and all of the tracks will show. The reason you need to change the Title, is because, if they are different albums, it lumps all the songs together, but sorts by title instead of file name.
2. The second option is to use sub-folders. You can keep the album name the same, but then put each track or group of tracks in it's own folder for each of the original albums the tracks are coming from. When you go back and look at the Album list, you should see multiple versions of the same album, one for each sub-folder. But each track keeps the album art that it should have. Again, you'll have to rename the title to the 01, 02, 03... format, because when you select all of the one artist it will sort in alphabetical order by Title. I haven't tried this yet, but I would imagine you could just use Folder.jpg files for each sub-folder, and you would get the same results as actually having each file contain the picture in the Metadata.
I'm going to use the second option, because I can change the titles much easier than I can change the albums. It's annoying to have multiple 'Best Of' albums listed. My original plan for my setup was to simplify and keep from having a thousand albums listed, but I'm out of options for now.
Also, I have no idea how you could work around this issue if your album has multiple Artists in it. My workarounds only apply if it's one Artist per Album.
For multiple Artists in the Album, the only thing I can think of is changing all the albums to different names, or using sub-folders. That way the player will use the metadata rather than apply the first tracks art to all. Then you would probably have to set up a playlist, because I don't know of any other built in way to group those Tracks together once the Album has been changed, or they've been sent to sub-folders.
Also, I've only tested on my HTC Aria using the built in Music app.
If anyone else comes up with a better plan, I would love to hear it.
Hopefully you can apply some of this to your own cases.