I don't know if that will work in the long run because the ithumb file will eventually be too big to transfer completely to the iPod.
Here is the method I used to make it work, but be warned... it's not pretty:
you need to have your iPod jailbroken with SSH installed.
transfer all your files in one sync to the iPod and don't close Media Center.
Login to your iPod with SSH and go to the var\mobile\itunes_control\artwork folder (i think that's the right folder path, I don't have mine on me so it might be a little different).
Go to your media center temp directory, typically: C:\Documents and Settings\<username>\Application Data\J River\Media Center 12\Temp
and copy the ithumb files and the artwork file to the ipod directory. Make sure to get rid of the tmp extensions.
it should now work.