I stumbled upon your query while trying to figure out just how to place artwork for the radio stations. I didn't wanna join the forum but since you seemed to get little response, I thought I'd share my method and maybe you can post it if you want.
I kinda trick the system. First I give my radio station an "Artist" and "Album Artist" and "Album" name and change the track number to "1". Now as you know you can't add artwork to it. So I then download any small mp3 like a lion roar or whatever and upload it to iTunes. Then I give the small mp3 the same "Artist", "Album Artist" and "Album" name as the radio station and change the track number to "2" and then I add my artwork to this file. iTunes then automatically takes the artwork for the radio station as well!
Voila my method. Hope it helps.http://hintsforums.macworld.com/archive/index.php/t-80621.html