How do I get my iTunes "Album Artwork" to add to the individual files instead of "~/Music/iTunes/Album Artwork/"
Check out this AppleScript from the excellent dougscripts.com: Re-Embed Artwork v.1.0. If that doesn't do it for you, you may find something else useful on that site. 

Note: I haven't run this script myself and can't vouch for its efficacy, though I believe its source is well-regarded. Use at your own risk.