You can put an artist picture in the folder specified in Preferences -> Tags (1) -> artwork storage -> artist picture location
or by right-clicking on an artist picture in the "Now Playing" tab and using "Paste Artist Picture" option.
I've placed "Pink.jpg" and "Pink Floyd.jpg" in the artist picture folder and it works fine.
I even tried using "Pink.jpg", "Pink 2.jpg", "Pink Floyd.jpg" and "Pink Floyd 2.jpg". Both artist rotate between correct pictures.
Edit: for thumb pictures it works in the same way, right-click on a picture -> paste artwork.