Use Windows Media Player for syncing your phone and computer. It works wonders.
You can paste album art work quite simply on that but sometimes there are stubborn files that just wont keep the art work, I know it happened to me. The way you fix this is in Windows Media Player, highlight the album/songs that are having the issues, right click and select Advanced Tag Editor. In there there is a tab for pictures. Just set an image to the option for cover (front).
Another good thing about WMP9 is that you can easily sync files between the phone and computer via the Sync option at the top.
I'm not a big fan of Microsoft products. I put up with some (Vista) hate others (Internet Explorer) but Windows Media Player is very very good for working with your phone.