It depends on how you put music on your iPhone. I'm not familiar with the methods available as I don't have one, but...
Consider the two options shown in the attached images. One handles file conversion, so if you're converting when you sync, you can instruct MC to also embed the coverart.
The other option is to use whatever option you specify there, but to also save (embed) the art in the file tags. If you have that checked, you can select files, right click, library tools, update tags from library, and that will also embed the art inside the selected files.
-marko
