Can I set custom album artwork that isn't included in one of the songs?
Yes, you can do this a few different ways depending on whether you want to preserve the current artwork or are OK overwriting it.

Way 1 — Simple if you are OK overwriting the current artwork.


Select all of the songs you would like to share the same album artwork.
Type Command-I.
You may see a dialog asking "Are you sure you want to edit information for multiple items?" if so click, "Yes" to continue.
You will see a editor like this: 
Drag the image you want as the album artwork for these songs onto the well labeled Artwork.
Click OK and you're done.


Way 2 — If you want to preserve the current artwork.

iTunes allows songs to have multiple artwork files associated with them. It displays the first artwork file as the album art for a particular song. Here's the slightly more painful way you could add your artwork to these songs.


In the main iTunes window make sure that you have the small album art window displayed in the lower left. You can toggle it's visibility by clicking the icon near the bottom left that looks like this: 
Select the songs you want to add art to.
Drag your new art onto the cover in the lower left. 
Your art has been appended to the end of the stack of images associated with this file.
Now the annoying part: you have to open the info panel for each file by selecting it and hitting Command-I.
For each file move the new image to the top of the stack to make it the default album image and click OK. 
Once you complete step 5&amp;6 for each file you're done.