How do I save iTunes album art to the file itself?

I’ve downloaded album art from the iTunes store to my MP3 files, however this only stores the album art to database files in the iTunes folder. I am aware of the benefits of having the album art in this form as features like Cover Flow work quickly, but is there a way to save the album art to the file itself (the standard way) as well, so other programs can see it too?

Am happy to use an extra program, but if the feature is in iTunes itself, that would be even better.

I am working with Windows and iTunes