I was in a similar situation when I wanted my own thumbs/screenshots for my clips, my tv episodes, etc. But creating them one by one, by hand, looked too much for me.
The short version is that I used a custom GUI for ffmpeg and tell it to extract 10 screencaps from all videos found on the chosen folder, that many seconds apart; screencaps being named the likes of <original_filename>_xx.jpg and so on. Then I picked something like AcdSee, line them all up 10 on a row (so one row - all screencaps from one clip), and started inspecting; picked one best for each clip, delete the rest. On the remaining files I used Bulk Rename Utility to cut the "_xx" at the end. So I got one JPG screencap with a matching filename. Still requires more patience than most people are willing to spend but, for the truly dedicated...
Note: for me this didn't have much to do with MC at the time, I did it for something else; all the caps and whatnot are stored with the video files. The fact that MC gather art in dedicated folders that's up to MC, but I don't use or rely on such a feature (the unique filename problem).