@androidjedi the preferred method is embedding the album art into the ID3tag, but adding it to the album folder should work also. One reason that it might not show after adding it to the folder is because the player hasn't indexed it yet. It will check from time to time and index periodically. You can force a manual index by going to settings, system reset, Initialize media scan. If you have playlists set up on the player, make sure "Clear Playlists" box is unchecked.
It can take up to 15 minutes to scan and index content depending on how many files are in internal memory and on the microSD card. Usually scan will take on average of 5- 7 minutes. You will see a message in the notification bar while the scan is running.