Hi. I've downloaded the 3 albums (in WAV format) ok and imported into my iTunes. For some annoying reason, I cannot add artwork to each track. Does anyone know how to do this ?

You'll have to turn them into MP3s.
iTunes doesn't allow you to attach artwork to WAV files.
[Edited 5/26/09 6:41am]

You can transcode the WAVs within iTunes into MP3, AAC, or even Apple Lossless (a lossless-to-lossless conversion).

Those 3 codecs support ID tags and artwork, although iTunes is not the greatest MP3 encoder out there. LAME is best for MP3, but iTunes is one of the best for AAC.

WAV files do not support ID tags at all, which is why you often see such long filenames that include everything in them.