How to manually add an artwork to the iTunes Artwork directory?
Just find the track [or the entire album] in iTunes, select it then hit  Cmd ⌘   i  to get info.
Select the Artwork tab then drag your picture from Finder into there.

Unfortunately, this appears to work for just about any format except WAV.
This also applies to an overall 'album' artwork added to the folder rather than files. It will only work if they are not all WAVs.  

I'd suggest perhaps converting to AIF, which would be a completely lossless conversion.