It wasn't working by just pasting the JPEG file into Thumbs folder so i did this:
1)Select an album artist in the panel for which you want to get custom thumbnail.
2) Go to "Tools" then "Download Artwork," click the checkbox next to the artist you want to put custom artwork for, click "preview," right-click the picture labeled "current picture," and then click choose picture.
Note: You need to paste JPEG in Thumbs folder in this case too but if for some reason it's not working then you can force it by this method.