How to ad album art to MP3's?

Some months back I bought an mp3 player (Zune)  which displays album art from mp3's that I download.  It's pretty cool to have that.  How does one go about adding artwork to their mp3's produced in SonarX.   I noticed that Cakewalk Publisher has what looks like the ability to upload art with music, does that work?  How generally do people do it so that the art appears with mp3 playback.  Sorry for my ignorance on something that must be elementary to a lot of you.

... Actually, you can embed a .jpg into an .mp3 file.
 
http://www.richardfarrar.com/embedding-album-art-in-mp3-files/

If you have a Zune Player, don't you have the Zune Software, then? Right click an album, and click "Add Album Art".

I teach a class at the local college and one of the things I have students do is submit MP3s to music libraries.  The MP3s should have embedded art work with contact info.  I suggest using iTunes (I really do not like itunes for other things) as Matt suggested.

In iTunes you scroll down "Get Info" and fill everything in.  I kinda think using iTunes is the best idea just because it is the most used music app.  Music supervisors for film/TV and people working with music libraries tend to use iTunes as the weapon of choice.  I think it would be the same with consumers.

So you need to get good with something like photoshop.

Peter in the above post has some very good points.  To make sure the "metadata" gets attached in iTunes I will copy the MP3 out of iTunes into another folder.  It has worked out for me,  but I have not check out MP3tag and other programs. 

I don't mind iTunes and use it often and it certainly can help with doing a lot of mass edits and so on.  Album artwork seems to be a little inconsistent though.  I think if you use the "get info" menu option as Jimbo 88 suggests above you should be okay, but I have had instances where I've "lost" album artwork from files because I made the assumption that they were always embedded in the files themselves.

What I have found is that sometimes iTunes, Zune, Windows Media Player,etc. store the image in the folder where all the album tracks are or in a specific proprietary library file.  I think this might be to avoid the "performance hit" of updating each and every mp3 file when you import a whole album or have iTunes retrieve missing album artwork (and if you stay within the app you won't notice the difference).

Although these tools may do what you want most of the time, I prefer not to rely on them and have found that mp3tag had never let me down.  It's also good at all that mass editing stuff too, and since it's free you can try it easily....and maybe drop the developer a donation.  FWIW, this tool has been around for a while and I believe is a popular app, so no worries of it going away any time soon.

Ps: ditto Jimbo 88's comments about putting all your contact info and web links into each mp3 file.  It's good advice

Thanks to everyone for the great information.  I do have Zune software so I will start with that.  MP3tag looks promising too.  I would hope that the artwork would be visible with a variety of media players.  Again Thanks!!!

MediaMonkey does it easy as well:   http://www.mediamonkey.com/