Well, I am new to android, but not to music and mp3s. There are two ways that album art is stored to mp3s (well three ways if you count itunes). The first, the actual jpg for the art is embedded in each mp3. This does add file size to each mp3 if you use a high quality art file. But the advantage is any program will be able to read it. Another way is what windows media player uses. The album art is stored in the actual folder that your album is in, so for example, you have a folder called The Gaslight Anthem, and inside that you have a folder for the album The 59 Sound. The jpg is stored in the album folder, and the program will read that when playing any song from that album. The downside to that is if you move the mp3's, but not the jpg, you will lose the art. The third is itunes. Itunes "associates" a jpg with the mp3. Similar to embedding the jpg, but doesnt add the file size. So your itunes can be perfect, and have art for each mp3, but if you move the files out of itunes, you wont see the art.
I transferred files with embedded art to my evo, and they showed up, so i would recommend that. There are programs that will help you take the assiciated art from itunes and embed it into the file.